The problem may be due to graphics hardware acceleration being used to display the image. Try disabling it. Go to Control Panel - Display - Properties - Settings Advanced - Troubleshooting in Windows 2000 or XP; or Control Panel - System - Performance tab - Graphics - Advanced settings in Win98 etc. Slide the Hardware Acceleration slider to None.
Otherwise it might be down to the system using DirectX. There are a lot of shareware screen grabbers out there which can do it, but they'll cost you about $20-30.