Are you sure you haven't actually captured the scree shots?
From the website -
How do I use still image capture?
You can capture a still image during movie playback. Press the P key at any time to capture a BMP file of the current frame. Capture does not work on zoomed regions and on some hardware motion compensation graphics chips. If you are experiencing problems with capture, disable the hardware motion compensation and try capturing again.
Captured images are stored in the Capture subdirectory of the WinDVD directory on your hard drive. Captured files are numbered sequentially: cap001.bmp, cap002.bmp, and so on.