You press Ctrl + Print Screen to take a screen shot while playing GalCiv 2. The game might pause for a second while this is happening.
You should find the files in the "ScreenShots" folder. The location would vary depending on what OS and game version you are using. You can find all game data (the folder where all save files and ship designs are saved to) under "My Games" folder which is under "Documents". Each game version (Dread Lords, Dark Avatar, and Twlight of the Arnor) has their own separate folder.
So if you were playing TA on Windows 7, you would find the folder under:
C:\Users\<user name>\Documents\My Games\GC2TwilightArnor\ScreenShots