Pushing [
F12] while playing the game will automaticly take a screenshot and save it in the \My Documents\NBA LIVE 2005\Screenshots\
You can also save what you have on the screen at the moment by pushing [
Prt Scr], by doing that you can only take one screen-grab. And by getting it to a picture you have to open a paint program and paste it in there. This method is very good when taking screenshots of the game when not playing a game (F12 doesn't work when not playing a game).
If you wan't to take movies of the game, using a program like Fraps would probably be the best.
http://www.fraps.com/