I'm going from memory on this since I'm at work...
After you find a picture/scene you want from your loaded DVD, you need to scroll along the top options until you get to "Capture" and then press enter on your remote. The player will say saving/storing (or words to that effect). This new picture will become your screen saver. (You could also change to the other screen savers that are preloaded on the player.)
If nobody else posts, I'll take a look at the manual when I get home for more specific directions.