Windows Media Player just doesn’t have the chops for this task. You’re going to have to install a better video player. Don’t worry, it’s free!

1. Install VLC Media Player: http://www.videolan.org/vlc/download-windows.html
2. Open VLC
3. Load the video file by clicking on the Media drop down, the Open File
4. Click the Tools drop down, then Preferences
5. Click ‘Video’ on the left.
6. In the last box ‘Video Snapshots’ it lists the directory where captured images will go. Take note of this directory or change it to be whatever you wish.
7. Play the video.
8. At the moment you wish to capture an image, click the Video drop down, then click Snapshot.
9. Go to that directory we saw in preferences, and Robert’s your mother’s brother! Images!