I believe its up in Modify at the top of the screen. Modify then make freeze frame. Then when the frame is in your bin just highlight it and file export it. This should be correct I dont have FCP open right now.
You can also just park you playhead on the frame you want then go File->Export->QT Conversion and change the "format" to "still image" then go to the "options" button to pick whether you want a JPG, TIFF, etc.