My apologies. I just tried it myself, and even though I selected to export the jpeg, it still exported the complete video file. Weird. I have no idea why this is happening.
There is another way to get that still image, but you'll have to be very careful. iPhoto automatically creates a jpeg version of each video file for displaying in your library. If you right-click (control-click) on the thumbnail and select "Show File" a Finder window should open with the video file selected. Set the Finder window to Column view, and you can clearly trace its path in the iPhoto Library/ Originals folder. The jpeg of the first frame will be stored in an analogous location inside the iPhoto Library/ Modified folder. (Same Roll name, same file name, except for the .jpg extension). Locate the jpeg in the Modified folder, select it and do a File > Duplicate command. Move the copy to another location outside of the iPhoto Library.
I would be irresponsible if I failed to give you the standard warning about messing around inside the iPhoto Library folder. Warning: Be careful that you don't change any of the items inside there, or you can damage your database. Just select the file, duplicate it, and move the
copy out. If you move the file that iPhoto knows about, you will have problems with your iPhoto Library.
Regards.