CREATING A THUMBNAIL OF VIDEO

The details depend on the video formats (ISO-MP4, MPEG2, AVI, MKV, etc.) and the compressions (H264, MPEG4, MJPEG, etc.) that you want to support in your project.
In general, you can try using LEADTOOLS Multimedia player control which provides you the ability to retrieve the current frame as a still image of type System.Drawing.Image class using the playCtrl1.GetStillImage method as follows:
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Dim _image as System.Drawing.Image = playCtrl1.GetStillImage(-1)
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After this, you can show this System.Drawing.Image object in PictureBox control (or any control that supports it).
You can find more details here: https://www.leadtools.com/help/leadtools/v19/dh/multimedia/mm/leadtools.multimedia~leadtools.multimedia.playctrl~getstillimage.html

Disclaimer: I am an employee of this library.