You need to set the usb protocol of the scope to "picture bridge" instead of "computer" and you have to connect a compatible usb printer directly to the scope.
Then you can print directly to a printer by just pushing a button on the scope.
edit: or print the file to a usb stick.
You are right, of course; thanks for clarifying. A PC program that behaves like a PictBridge printer, i.e. receives and stores screenshots whenever the scope sends one to the "printer", would be quite nice. It would allow me to stay focused on the scope's user interface, and even keep the PC at a distance when space is tight.
I would prefer this to storing screenshots on the USB stick: The PC could add a time and date stamp, and I could quickly enter a meaningful file name at the beginning of a measurement session. Better than sorting through a jumble of images on the USB stick, because I was too lazy to clean up for several days...
Is anyone aware of such a "PictBridge printer emulation" program? (Would it work with a regular USB port, or does it need a client-type port on the PC? I am confused who takes what role in a camera/printer or scope/printer connection? -- Edit: The printer is the USB host, so this part should be straightforward for simulation on a PC. But a quick search did not turn up any suitable PC software, except for some presumably very expensive development/debugging tool for PictBridge client developers.)