it all depends. Some things (like windows media player) will allow you to just use the Prt Scr Sys Rq (print screen) button... but to do so you have to set the hardware accelleration in the player to low or none. Then just use Paint Shop Pro or Photoshop or whatever image editor you choose.
If however you cannot with a different program, then use something like Hyper Snap or other image grabbers (the types used for capturing images of some video games you might also play).