Well, it *used* to work in WinDVD, though now it's slightly harder to accomplish. After going to Properties->Display you have to deselect "Hardware Motion Compensation." Then, when you go to the scene you'd like to capture, press the "P" key on the keyboard. It saves it in a folder in the WinDVD folder within Program Files directory.
I can't speak for other players, however, as WinDVD's the one I use.