Here is a procedure to follow to take a screenshot.
1. Open "Microsoft Visual Studio 2005 -> Visual Studio Remote Tools -> Remote Zoom In".
2. Select one on a "Select a Windows CE Device" dialog, which is the thing you want to connect. Make sure a device connected to your computer.
3. You will see the screenshot. If you want to take another screenshot, click "Target -> Refresh" on the menu of the Remote Zoom In, or press F5 key.
4. Now, you can save the screenshot as an image (BMP). Select "File -> Save As".