The simple and primitive way of taking screen shots during OFP (or in any Windows program, for that matter) is to use your keyboards PrtSc (PrintScreen) key. This will capture a bit image of the current screen and store it on the Window's clipboard. Then, all you need to do is open up a simple graphics program, like Microsoft Paint, paste the clipboard contents and save to disk.
Of course, hitting PrtSc, then tabbing out of OFP, then pasting in Paint and finally saving the image as a file is not very conducive to OFP gameplay. In fact, on some systems, flip-flopping from OFP to the desktop and back again may cause OFP to crash or your system to freeze. Also, depending on your OFP display-type setting (Glide, for example), the PrtSc key may not always work under OFP.
In these cases, you'll need to install a screen capture software product that lets you just hit the PrtSc key and go on playing, while it automatically files each screen image separately to disk.
There are a lot of such products out there. Some are freeware, some are not. Many, including known commercial products, do not support screen capture for software using certain graphical interfaces, such as OFP's use of the Direct3D and Glide interfaces. Currently, for example, Techsmith's well known product, SnagIt, does not work with OFP for that reason.
If you're using FRAPS to measure you machine's frame rate, it has a built-in screen capture function.
There's also a free screen capture program called GCS, abbreviation for Grab, Click & Save. You can get it from here.
If you go to ZDnet's downloads site and search using the words "screen capture", you'll get back a very long list of products. Many work for some people's PCs but not for others. There is, however, one commercial product that seems to work for everybody and with consistently good results: HyperSnap-DX by Hyperionics. If all that's free fails, this is my current recommendation. A trial version of HyperSnap-DX is available that places HyperSnap-DX's logo on each screen image.
If you choose Hypersnap-DX, OFP reg Snake1999 points out that you will need to enable the SPECIAL CAPTURE option on Hypersnap-DX's CAPTURE menu. This will display a dialogue window, where you can enable screen capture support for Direct3D and/or Glide graphics APIs.