Just press "Save" and "Exit" Buttons simultaneously ( afaik OS 4.0 and above only ).
Then you´ll find a "Screen_001.BMP" ( increasing numbers when you take more than one screenshot ) in the folder "USER_DATA".
Just connect the Audya to PC via USB and you´ve got them. Or copy them via the Audya´s DISK menu to an USB-stick.
On your PC you should convert ( NOT rename, that won´t work ) it to either ".jpg" oder ".png" format to make it better useable