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Just press F11 and the screenie will be saved to your EU2 root directory (C:\...\Europa Universalis 2\) as a bmp file. The first one will be called screen0.bmp, the next one will be screen1, etc.
If you have a bunch of them to do, check out the freeware program at www.irfanview.com which includes a batch conversion and scaling utility. It's a very slick piece of software.