out of the box, such functionality is not available. What can you do?
In simplified terms, you can access the pixel information stored in the frame buffer and encode it within e.g. PNG, BMP, etc. file - assuming, you have an encoder library for such purpose. Embedded Wizard itself does not contain any PNG, BMP, etc. encoding routines.
The exact procedure would depend on the concrete target system (color format and how the frame buffer is managed). Do you want to dump the screen contents during prototyping or during the runtime in the target system only?