So, I double click a "Share Dropbox link" in an email, and the video begins. I then right click & get a menu that includes a "Save as" option. When I click Jing to capture the screen with the menu showing, the menu disappears. WTF?
In order to capture the menu, you'll need to use a capture hotkey. If you right click to open the menu, and then use the capture hotkey to initiate the capture - it should allow you to capture the menu. Here's a short video tutorial that shows how to use a capture hotkey - http://www.techsmith.com/tutorial-jing-capture-hotkey.html.
Let me know if that doesn't work, or if you have any other questions.