I use a DOS emulation program called DOSBox. If you run Thoromation through this program it runs in a window (and full screen if desired) and you can capture screenshots with it. If I run Thoromation through XP I get the full screen mode too. DOSBox is a necessity if you are running Vista, Thoromation won't run on it at all.
DOSBox is a free program that can be downloaded here:
http://dosbox.sourceforge.net/download.php?main=1