The instructions below are for Genos, but I expect them to work also for psr sx ....
1. Insert a USB stick
2. In the Style control section, hold down "BREAK" and "ENDING 2" and "ENDING 3" buttons simultaneously while turning on Genos (or in your case PSR SX)
3. After the keyboard is ready, press the "ONE TOUCH SETTING 4" button to take a screenshot
4. The screenshots are stored in the root folder on the USB stick and are named CAPT000X ...
Best Regards
Rudy