the MediaElement that the Video Player uses will show a thumbnail image of the frame at the current position. Otherwise, tools like Expression Encoder create thumbnail images (JPEGs or PNGs) that will be used for the video thumbnails and chapter markers.
This will show the first frame of the Bear.wmv video and won't play automatically:
<Grid x:Name="LayoutRoot" Background="White">
<MediaElement AutoPlay="False" Source="Bear.wmv"/>
</Grid>
If you knew the time that the thumbnail comes from, you could have a secondary MediaElement with its Current Position having that time. When playback starts, you would collapse its visiblity.
Michael