How to find frame exported from video in Photos?

Hi

I am using Photos in OSX and have imported a video.

When playing the video, there is an option at the cog on the right hand side of the playback controls that says "Export Frame to Pictures". I cannot find any documentation on this, but assumed it would export a still of the frame I am viewing somewhere. It does not seem to do anything and I cannot find where the frame has been stored, if indeed it does this.

Can anyone advise on this please?

Many thanks

Ben