No, but only certain games support it. Some games have it built into the game itself (Wipeout, HSG to name a couple), but MLB The Show '09 is the first to have it integrated into the XMB.
If you're asking how to Screenshot in The Show, just press the PS button and scroll to Photo - you'll find the option in there. Once you save the pic to your HDD, you can use a flash drive to move it wherever you want.
For now, this method only works on the Show and its Demo. I would hope that more companies adopt this approach to it though - it's a great feature.