when you capture or import video to your dedicated video drives, you are storing them in the virtual tape file system (vtfs). this may most commonly be the p:\ drive when you view your system in windows explorer.

when you capture some video, you are really capturing a dps clip.
when you open one of those other folders and look at a still image from one of those clips, the vtfs dynamically creates that image. it existed before you chose to view it, but it didn't exist as a bmp or an iff or whatever you chose to view. it existed as a numbered portion of a continuous stream of video.
when deleting files from the vtfs, you must delete the dps file from the dps directory. nothing else is really there. you can't delete a single still image. if you want to delete anything from the p drive, you must delete the dps file.
you can, however, save over a single image. if you open a still image from the vtfs in photoshop or paint shop pro or any other image editing program, you can view that frame. you can paint on it and then save it back.
if you reload that frame in some other file format, it will have that painting on it, because the painting you have just done was saved to the vtfs, not to the file format you chose. if you look at the video, that frame will have your painting on it.