The API has been changed in XNA 4.0 .
If you work in a HiDef profile (Xbox 360 and later Windows machines), you can use GraphicsDevice.GetBackBufferData .
To make it easier to save this data, you can use the output from this in Texture2D.SetData and then use SaveAsPng or SaveAsJpeg (this is a bit slower than it should be, since it also sends data back to the GPU - but it's that simple).
If you are using a Reach profile, you need to make your scene. My answer here should give you a good starting point.
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