Options for screen captures?
Check under (rightclick >) Options > Preferences > Frame and thumbnail capture.
There you can set the directory to be used for captured images.
If you didn't set it before check in folder
C:\Program Files\Webteh\BSPlayer\
or e.g. in folder
C:\Documents and Settings\[YourName]\Application Data\BSPlayer\
If you cannot find, you could also use Windows' search-files function (for XP through [Start] > Search)
and search for
bscap Frame by frame?
Pause movie and use right (and left) arrow keys to step through the movie
(Depends also on the possibilities of the decoder/filter used!)
Other possibility?
Well, there still is the possibility offered by Windows: [Alt]/[Print screen]
followed by "paste" in a graphics package.
(Its working also depends on graphics card/overlay settings.)