See, I've tried that, but whenever I paste into paint, it doesnt paste it, like it has some code. If you watch a music video of some sort and take a screen shot and paste it, it wont take a screen shot of the part you did. It has some code imprinted into it preventing you from doing so.
Use FRAPS and press F10 while watching your video in Windows Movie Maker. The images get saved to C:/Fraps. Or you can press F11 to get a 30 second clip of whatever you're watching if you want to import it into Flash to make it into a .gif.