The image captures go to the "copy" board(?) on your computer. If you open an imaging program (paintshop pro, etc...) and click "paste", it should show up and then you can save it.
I did this back when I was hot to build the Neb., but then the 3rd movie came out and I lost interest in it. There's no way to convince me that the Wachowski bros. had the whole story mapped out from the very beginning.
Of course that's just my opinion.
Dennis