I do not think it is possible with Windows Media Player.
Indeed there is VLC, but I prefer to use Media Player Classic (MPC) as VLC do not allow to pause instantly nor to advance frame by frame, so it is sometimes difficult to capture from action scenes or when not all frames are sharp enough.
In VLC I do not remember exactly but I think it is somewhere in Video menu that you have a command for the capture.
In MPC it is File -> Save Image.