I am not sure if Rene's solution solved your problem or not. Many users like to use the timer feature to capture menus because it gives you a chance to open the menu before your image is captured.
Another idea would be to use the hotkey for All-in-One. Simply open the menu (make sure to leave your mouse over the menu so it doesn't close) and press the hotkey. This should give you the ability to capture the menu and the window behind it as well.