Do you mean save a frame from a video you have on the timeline? Get the frame you want to grab in the preview window, then click the little floppy disk icon just above the right corner of the preview window.
A few things to keep in mind ... this option basically does a "PrintScreen" of the preview window. If you want a full size frame you'll have to right-mouse-click on the preview and check "display at project size". The image you grab will be 655x480 (NTSC) or 720x576 (PAL). This is normal. The image will show up in the media pool after you've been prompted with a location to save it.
Right-click on the Video Preview and pick "Display at project size".
Set your project property "Interlace" format to "progressive" and the (advanced property) "Deinterlace method" to "Interpolate" so you won't get any interlace artifacts in your images. Make sure to set the interlace property back before you render your project, you only want progressive for the still capture step.
Use "Save Timeline snapshot to file" because it deals with pixel aspect ratio, while "Copy Snapshot" does not.