This can happen sometimes if you're trying to record a full screen game or application, in which case you should run the game or application in a normal windowed mode instead.
Also, some anti-virus programs have a feature to block screen capture, which will of course cause problems if you actually WANT to capture your screen.
Here's a list of anti-virus which can cause this problem:
- Trustee Rapport
If you have a different anti-virus then try disabling it to see if it's cause the problem, then please let us know so we can update this list.