I've said it once, and Kor has fortunately repeated it.
I can't see how you can't take a screenshot from Windows Media Player.
What version of Media Player are you using? Windows Media Player 8 (usually included in Vista or Windows 2007) or the older version, mainly from XP?
I think its the same way to take a screenshot in both, holding Ctrl and pressing "I" at the same time.
If you aren't able, though, you can take a lower quality screenshot by pressing the Print Screen Button. It will create an image you can paste in Paint, for example, and then save. It will capture the whole screen, but also the screenshot you want. Afer, you will just have to crop it until you get only the screenshot.