I use the VLC player to do this.
It's free and plays almost anything: http://www.videolan.org/
From the VLC FAQ pages (http://www.videolan.org/support/faq.html):
How can I take screenshots?
To take a snapshot of the video displayed by VLC, you just need to press the pre-defined snapshot hotkey:
Windows / Linux / Unix: Ctrl+Alt+S
Mac OS X: Command+Alt+s
To change it, go to Preferences -> Interface -> Hotkeys settings, check Advanced options, and set Take video snapshot.
You can also take a snaphot via the menu Video -> Snapshot.
To change the snapshot format or directory, go to Preferences -> Video.
Where are my screenshots?
If you haven't changed the snapshot directory in your preferences, your screenshots should go to:
Windows: My Documents\My Pictures\
Linux / Unix: $(HOME)/.vlc/
Mac OS X: Desktop/
To change it, go to Preferences -> Video -> Video snapshot directory.
Hope that helps.