In order to save a frame from video (create its screen-shot), you need go to the section "Video Editor" and press the button "Export image".
The main window for creating screen-shots has the following view.
When you have already chosen the needed format and pressed the button "Create screenshot", it means that you have created the screenshot of the frame (the cursor pointed to this frame in timeline). The image will be saved according to the path given by you. To reach the same result you can by means of combination "Ctrl+F12" in the window "Video Editor".