In the timeline, place the cursor at the location of the frame you would like to copy. Now in the Video Preview Window, click the "copy snapshot to clipboard" button. The image will copy the exact size you are currently viewing, so if you are looking for a full-res image, you need to resize your Video Preview Window. Once you have clicked this button, you can paste the image into Microsoft Paint or any other image editing software.
When I need still images, I open up Ulead Video Studio 6. When viewing working on your project, you just click on the "Save Still Image" icon and it saves a BMP at 640x480 and adds it to the media list.
It would be nice for Vegas to make it that easy.
(I also use VS6 to render some scenes because it has some pretty cool effects and can use Boris Factory for even cooler effects. Then I take that clip into VV for my project.)
It IS that easy. There is a button above the preview window that says "Save Timeline Snapshot to File". Upon saving, you have the choices of JPG or PNG. The one "catch" is that you need to right-click the preview window and choose "Display at Project Size" before saving the picture. Also, you may need to change the preview quality to BEST.