Use Windows CE Zoom-In

Cradle your mobile device and make sure the ActiveSync connection is established successfully.
Launch the Microsoft Windows CE Remote Zoon-In program 6.0 (it comes with Visual Studio 2005). Select the correct device in the pop up window.

Once the program connects to the device successfully, it downloads the current image in bitmap format and displays it in one window. If you need to capture another screenshot, click File | New Bitmap menu, which downloads another screenshot.

      

Note that clicking the Refresh button or pressing F5 will update the current screen in the current window.

With this function, all screenshots can be downloaded and saved easily.