Usually you just put a memory card into the slot. You might try reading the instructions that came with the frame. This question is far too general to answer here.
If you have Windows Movie Maker, you can take a 'snapshot' from the video very easily:
> Import the video you wish to take snapshots/pics from into the Time-line view
> Using the green bar...
It depends on your monitor.
The big old CRT monitors are analog. The computer sends digital information to the monitor but it then gets turned into analog so the monitor can display that...