Still moving, you mean that in the captures that you made you see the movie when you play it? It is because of the overlay: the video is not drawn by Windows but added by the video card later. So windows only has a black square marked as "video emplacement". So when you make a capture you only capture that emplacement and not the image from the video.
Anyway the printscreen/past thing is quite less easy than using the "capture image" function of VLC or MPC