Video Capture and snapshot feature

[thirt4]

I am so new to video capture or streaming it is not funny. I have a video on my PC that I downloaded after
taking it.
So when I am playing the video back, I can right click and a table pops up that shows that I can make a
snapshot of the video when I pause it. Am I understanding this correctly so far?

If I am, how do I take a still frame from the video and when I do take it, just where in the files does
it get stored?
I have tried three such snapshots but do not know if they saved since I cannot find them anywhere.

Thank you. If I have the wrong forum, please provide me with the correct forum or link to it.