We consider the problem of finding a near-optimal policy using value-function methods in continuous space, discounted Markovian Decision Problems (MDP) when only a single trajectory underlying some policy can be used as the input. Since the state-space is continuous, one must resort to the use of function approximation. In this paper we study a policy iteration algorithm iterating over action-value functions where the iterates are obtained by empirical risk minimization, where the loss function used penalizes high magnitudes of the Bellman-residual. It turns out that when a linear parameterization is used the algorithm is equivalent to least-squares policy iteration. Our main result is a finite-sample, high-probability bound on the performance of the computed policy that depends on the mixing rate of the trajectory, the capacity of the function set as measured by a novel capacity concept (the VC-crossing dimension), the approximation power of the function set and the controllability properties of the MDP. To the best of our knowledge this is the first theoretical result for off-policy control learning over continuous state-spaces using a single trajectory.