However a homebrew tool has now been made available to help you get passed this obstacle.
NOTE - You will need a device which is either developer unlocked or unlocked through the ChevronWP7 unlock tool.
- Download and install Windows Phone developer tools.
- Download and install Zune Desktop Software for connectivity drivers for your device.
- Download ScreenCapture 2 from Long Zheng
- Launch your Application Deployment tool and install XAP file to your Windows Phone.
- Set the timer between 1-60 using the slider and tap the Chinese characters for 'Start Screenshots'.
- Press the Windows Key and wait for the specified time for the screenshot.
- Your screenshots will be saved under Picture > Albums > Saved picture
This may not be the ideal way to capture screenshots on your device, and we hope Microsoft will soon introduce a native screenshot method. But for now, this is all we have.
source - WPCentral