For CoD2/CoD4 players, here's a quick how to install DirectX End-User Runtimes:
1. Download it from here.
2. Create folder on desktop or anywhere you wish to extract the files. The thing you previously downloaded is actually one huge archive packed by Microsoft and contents need to be extracted before real installation occurs.
3. Browse and extract files to created folder.
4. Go to that folder, find and run "DXSETUP.exe".
5. Accept the agreement, click Next and wait while files are installed.
6. After this is finished, you can delete the folder you created plus the file you downloaded.
Once again, you don't need to do this, program was made so it doesn't force you to anything, but with this installed properly, it will improve performance while capturing screenshot.