Ok, sorry for the dumb question. But how do I capture Still shots of my video on the Fly in premier?

I don't know if there's a way of doing it on-the-fly short of hitting space when the frame you want comes up and exporting it through the File menu. But I could be wrong!

One way of doing it on the fly would be to get a third-party screen capture app that supports video streams. You can set a shortcut key so whenever you're in any app you can just hit it and it will take a shot. Might work.