The process works like this (and probably other ways)..
Take the screenshot that you'd like to use as the icon image... open the screenshot.png in Preview app.
Drag the Preview Selection crosshairs to select the entire image.. the Press Command+C (or click EDIT>Copy)
Close or Quit Preview.app (Command+w or Command+q)
Select/highlight the Movie file you'd like.
Press Command+i
Click the upper left icon image in the "Get Info" window, near the title of the file.
You'll notice as you click the icon it highlights w/ a blue outline.
Press Command+v (paste)
Viola! Fin The End.