Just use the setup you describe, instead of having the camera in playback mode keep the camera in record mode and you will get a live picture feed to the capture window. And depending on what software you have, it miight have a snapshot button, that will save your pictures to jpeg or bmp format. This way the pictures will be recorded directly onto your hard disk. The downside is they will only be the same size as a video frame either 720 x 576 or 720 x 480, if you want bigger then you'll have to record them onto a media card first.

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