That article has a couple of different types:
1) Simple screen shots. These are easy: bring the window to the front, hold down ALT and press the PRNT SCRN key (on the group of three keys you probably never use). This copies the active window to the clipboard. Open your prefered photoediting program (I use PaintShop Pro, but GIMP, Photoshop, or even Paint will do). Paste your image, crop it to the desired chunk, and save it.
2) Class diagrams. These take a bit more explaining, so start here:
How to: Add Class Diagrams to Projects (Class Designer)[
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