It does NOT involve Bridge unless you're up to something extremely esoteric, in which case you probably shouldn't be doing it if you have to ask how.
I *think* all you're asking is how to export a frame from Premiere, so...
1. With your video clip on the timeline, navigate to the frame you want to open in Photoshop. That should be the frame that is shown in the monitor.
2. File>Export>Frame (or Ctrl+Shift+M I believe).
3. Save the file.
4. Open the file in Photoshop.
There's also
this old video showing the export process "live."
If you're trying to do something else, we'll need a bit more detail. ^_^