Your way should work, it worked for me.
Try reading this:
- Select a clip in the Project panel or a Timeline.
- Choose File > Export > Media.
- In the Export Settings dialog box, select a still-image format from the Format menu. See Export Settings Format options.
- If tabs are not visible below the Summary pane, click the Advanced Mode button.
- On the Video tab, deselect the Export As Sequence option (if it is selected).
- (Optional) To deinterlace the frame, select Progressive from the Field Type menu.
- (Optional) To correct the pixel aspect ratio for display on computer screens, select Square Pixels from the Aspect menu.
- Click the Output Name hot text.
- Browse to the location where you want to save the still-image file, type a filename for it, and click Save.
- In the Export Settings viewing area, drag the playhead to the frame you want to export as a still image.
- Click OK.
Check no.10 did you drag the playhead in the export settings viewing area? Or did you do that on the timeline?
In the earlier versions of CS4, it was a very round-about process. As of 4.1 it has gone back to being easier, as has been mentioned.
For this simple, yet oft-used task, I would actually vote for a "big button" to do this. I also wish that in this one case, PrPro did the "Add to Project" for stills, but one cannot be too critical.