Extract multiples images from multiples videos with ffmpeg
After @Mulvya reply, I made the following changes:

First, I must put all in a single file.
According with the Mulvya answer, a "concat demuxed input" don't have a "fast seek", so, first I created a gopro.txt file with the following content:

file 'GOPR0940.MP4'
file 'GP010940.MP4'
file 'GP020940.MP4'
file 'GP030940.MP4'
file 'GP040940.MP4'
file 'GP050940.MP4'


Then, "merged" all MP4 files in a single file, with the following command:

ffmpeg -f concat -i gopro.txt -c copy full_movie.mp4

Source: https://trac.ffmpeg.org/wiki/Concatenate

Now, I can extract in a fast way individual frames, with the following command:

ffmpeg -ss 00:15:00 -i full_movie.mp4 -vframes 1 frame00001.jpg.

Source: https://trac.ffmpeg.org/wiki/Create%20a%20thumbnail%20image%20every%20X%20seconds%20of%20the%20video (i put the -ss option first, like @Mulvya said).

Initially, I want to pass a list of timestamps to ffmpeg, but now, the extract of individual frames is very fast, that I don't need anymore. A simple batch file worked good.