A lot of titles do that - it's because InterActual links to online content, so it's an "enhanced viewing experience", or some such marketing-speak ;)
Unfortunately, I don't know off the top of my head how to do captures with InterActual. However, the disks should play just fine with any software DVD player - just insert the disk, shut down the IA player, and start up Windows' own DVD player (assuming you have it installed). On that player, the capture button is the little button with a squarish icon, right next to the "Help" button at the bottom - mash the button when you see the image you want to capture, and it will prompt you for a title and save it in JPEG format. Easy as pie ;)