This works the same as some of the previous Dreamlink models.
With a FAT32 or exFat USB drive insert in the T3 you can save screenshots.
With the screen showing what you want to save, simply press and hold the record button on your Remote Control (the button with the little red dot on it).
The T3 will automatically create a Folder on that USB drive and name it as Screenshots.
All your screenshots will be found in that Folder.