Arkimaagi's tip is for 'regular' captures (desktop, programs... captures)
if you want a screencap of the currently playing video, hit either P or shift+P (default keys for 'original size' and 'what you see' captures)
it will create a bmp or jpg file (in bsplay.exe's directory by default)
you may want to have a look at
this post and/or change the settings in preferences-->general