Screen grabs of video usually don't work because the video is being displayed using a hardware overlay. That means that the video data is stored in a different area of video memory from the rest of the desktop and the display pipeline of the graphics chip does the job of reading the data from both locations and compositing it (also scaling the video etc).
If you want to do a screen grab one way to do it is to start up a simple mpeg clip in media player before starting the video you want to grab. That will take the overlay hardware for the first clip. As long as you have a half decent graphics card it will be able to present the video with the 3D hardware which you can grab as normal.
I don't think there are any cards currently available that can do more than 1 overlay window concurrently.