In Microsoft's free Windows Movie Maker (I'm using version 2.1) which colorbook mentioned, add a video clip, pause it in the preview pane at the frame you want to capture, then click Tools -> Take Picture From Preview, which will allow you to save it as a jpg.
colorbook wrote:please remember that when you cut pictures from video files, they loose some their original quality.
That is not necessarily the case. It depends on the program used to capture it & the image format you save it in (jpg is a lossy format, others including bmp & tiff are lossless).
A simple way to capture a video frame from any application is just using the Print Screen button on your keyboard, then pasting the captured image into any picture editing application (such as the free Microsoft Paint). However, using Print Screen is one sure way to lose some image quality.