I do not know how the Frame Capture works. I have tried it but I do not know where to find the captured images (Frames).
Usually a window pops up saying where the captured picture was saved. Otherwise, click the More>> button, then the Configure... icon, and then the Folder tab. See Saved Picture Files for the path or to change the path.
I tried that and It was already set as it should be. But....With your setting me in the right direction I found I needed to go to Preferences option on the player and under the General heading is Capture Frame. I clicked on that and it was set there to go to Clipboard. The other options were Wallpaper or a File of choice. I just switched it from Clipboard to send it to My Pics Folders. Thanks for your help!