Windows uses a video overlay for DVD (and other video formats, too - you'd have the same problem trying screen caps of an .avi file, for example), and so the video image isn't in the frame buffer, and isn't really part of the image that's captured by screen caps. Sucks, doesn't it? ;)
Most DVD playback software has the ability to do frame captures, though. My first suggestion is to look over the documentation that came with your DVD player software, to find out how to do it. Or, if you post which program you use, someone might be able to tell you exactly how to do it.