Here are the steps.
- Play the game.
- Hit Alt-PrtScn key combo to put a copy of the current window (the game) into the Windows clipboard.
- Open your favorite image editing software (Paint works if you don't have one)
- Paste in the screen capture that you made in step 2.
- Save in whatever image format you like.
- Repeat for every CG you want.
Why so complicated? The game using compositing to create the scenes in game.
What this means is that the raw image files for the game are just pieces of each character and backgrounds. They are then "assembled" during a scene to create whatever is required for that particular scene in the game.
So an image dump of the game (what people usually do to create CG rips/packs) doesn't really provide anything terribly useable.
See this post for an example.
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Regards,
SB