Some games have a hotkey to take a screenshot - the game will normally allow you to change which folder it saves to.
Otherwise, you can use the "print screen" button on your keyboard, but IIRC that only saves to clipboard, so you'll then need to paste to a graphics program and then save. I think it saves as a .bmp, so the files will be huge - but your grpahics program will be available to saves as a .jpg or whatever else you fancy.