That is one way - if you have the mpeg, avi, or wmv file, you could bring it into windows movie maker and screen shot it there. If it is auto downloaded from the web page you can go to - Tools, internet options, general tab - Settings under browser history, then find the file/s and copy it to another location . Then edit it with Movie Maker.
If it is a FLASH file- like YouTube, then pause the video and screen print like Streb said. This is the easiest for flash, but less control if you have true access to AVI, MPEG, or WMV file...