[P] doesn't perform a
print screen in BS.Player. Instead it does a
screen shot (it is the default keydefinition to
capture a frame).
The folder/directory where the screen shots should be saved "
Directory for captured images" can be set under:
(rightclick >) Options > Preferences > Frame and thumbnail capture
Under Vista/7 it may well be that window's
UAC is hindering/pestering you (sometimes even without letting you know).
So make sure all (writing)rights/privileges are properly set for the folder/directory you want to save your screen images in!