This may be old news to everyone else, but since it took me forever to figure out (with the help of this site) and others, I thought I'd post it here so I wouldn't forget it.
VISTA. If you're running Windows Vista, use your graphics software (PaintShopPro, Adobe, ArcSoft Photo Studio, etc.--there are many others), to capture the images. Start the DVD playing in Windows Media, pause it when you get something you want to capture, and then use the Capture tool in the graphics software. That'll put the picture right into the graphics software, where you can save it.
XP. If you're running XP, download and install the VLC player (free) at www.videolan.org. Start playing the movie in the VLC player, pause it when you see a good picture, press CONTROL-ALT-S, and the picture will be captured as a .png file. You'll need to open Paint or some other graphics software to convert it to a .jpg, but that just takes a second.
Updated 10-3-09: The newer version of the VLC player requires you to pause the dvd, right-click on the image, and choose Video --> Snapshot.