How am I going to make a screenshot of any games? Can you tell me which key I must press?

If you're talking about PC, the one method I do know is to press the Print Screen button (right next to F12) when you're playing your game. Then open up MS Paint and paste it there. That usually works for most games..

But if it isn't PC...I don't know what you're talking about o.O;

If I were you, I'd switch to Nebula PRONTO. It supports CPS1, 2 and Neo Geo. It's easy to make screenshots with that program.