I use ATI Catalyst Media Center (A video card)- unfortunately its kinda expensive but makes great HD caps. I think it takes better quality caps than PowerDVD and like it you can cap multiple photos in a folder. You can read more about it here cinegirl - thanks for the info about Windows Media, I didn't know you could capture screen shots with it.
To make screencaps from video clips, use Microsoft's Windows Media Player. In media player, open the video file and use the shortcut CTRL-i to create a screenshot. Screencap will have a .jpg extension, and you can name the file anything you want. To further help you, pause the video and manual forward/reverse the play. Good luck!