Depends what application you're using to play/view the video - many have "capture frame" buttons built in, some may actively prevent this for copyright reasons.
Sometimes the quickest way is just to hit the Print Screen button on the keyboard and then go to a graphics program (e.g. Paint) and hit Paste. Again some video players do actively prevent this.
I'd recommend VLC player, this does frame capture as well as being able to play pretty much anything thrown at it.