Perfect timing! We had bell peppers for dinner last night and my son asked "why don't we plant these seeds"? Will they germinate? Should I do something to them before sowing (like drying, etc)?
Green bell peppers don't have mature seeds. Red ones might, but store bought ones were probably hybrid peppers... so you may get something, but it won't necessarily be the same (second generation seeds of hybrid plants don't come "true").
Pepper seeds are white (maybe more like cream). There's no way to know for certain if they were mature when the pepper was harvested other than by trying to germinate them... You might try the baggie method I mentioned; it's what I do when I'm unsure about germination.
However, as I said, that pepper was almost certainly a hybrid, so the seeds won't grow out to produce the same kind of pepper (it might be close, might be quite different).
I'd say that if you want to grow peppers, you should go to the seed rack and pick up a pack of California Wonder (not a hybrid, so you can save seeds) or a pack of a hybrid variety. Cal Wonder can be eaten green or you can let it ripen to red (true of any "green" pepper variety).