You can save a single frame from the current preview by first moving the current preview position until the desired frame is visible in the preview, then doing one of the following:

The frame will be saved to the folder specified in Options -> Disk -> Save snapshots to. It will also be added as an image clip to the current project.

Alternatively, to save all frames of a sequence as a series of images, see Image Sequence in Saving, Sharing, or Burning a Video.