It is with all movies and I have never been able to do it, with any system or configuration. This has been several years. Only now have I decided to do something about it.
toxin I have just tried this and indeed am selecting current window. It is saving to clipboard and when I open Photopaint I select New from Clipboard I get the WMP screen as if nothing is playing. I can't help feeling I am missing something obvious because nobody else seems to have ythis problem.