I would like to show frame :03 of my video. I have tried following the instructions on the FLV Player tutorial; however, they player does not show the video frame.

I have tried inserting the frame as:
.03
:03

Can you advise?

Instructions on the tutorial state:
Preview Image/Time Spot - The image will be displayed in the player before the video started. If the image is not defined, first frame of the movie will be used. You can choose any other frame defining seconds (Time Spot, e.g. 1, 2, 1.15, 1.25) of the frame in the movie

It's impossible to define a frame by its number.

Try to select it by time in seconds (not necessarily integers),
or make screenshot of the 3rd frame and use the image.