more in-depth and less snippy response: virtualdub has an option where you can export every frame of a movie as a .jpg, .tga, or .bmp, it's how i made this .gif (although i, being lazy, did actually just d/l a gameplay movie off youtube)
and if you don't want to use the full frame VD also has the ability to crop it to just the part you want, also you can delete parts of the movie so you only export the frames you want
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