You can also just let VLC make a snapshot to a file, or open any picture in Preview.app, go to Edit » Select All, then Edit » Copy. In any other video player, press ⌃ ⇧ ⌘ 4 and drag over the frame to make a selection screenshot of this particular frame, which will be available in the clipboard. In QuickTime 7, you can just press ⌘ C to copy a frame. Scroll to the frame you want as a preview. Open the movie in QuickTime ( version 7 would be preferred), VLC, or any other video player. I'm not aware of any way to do this automatically, but in general, you can change the icon for anything in Finder using the following method. Indeed, the choice of still frames is sometimes very bad.
