Push F12 key. its a in-game feature to take screenshot whenever or wherever you want.
the game saves the screenshot in My Pictures Folder in targa format as "nfsmwxxx". You can open those files in QuickTime player or Photoshop.
If you dont have Photshop, & If you want to save those files in JPEG format, open them in QuickTime Player, goto --- Edit->Copy.
Now open Microsoft Paint, & goto --- Edit ->Paste.
Now you know what to do, goto ---File-> Save As--then a dialog box opens, in it select the format "JPEG" . That All.