It seems that when I pressed Ctrl+F6, the same problem occurs: "Cant open waveout dir waves". How can't the program find the folder when it's set on default? Baffled.

Does the directories exist? Do you have "snaps" and "waves" where you installed Dosbox?
I just tried it myself for the first time, and it's working perfectly for me. I use the 0.60 release and not the CVS. Not sure why it doesn't work for you.

Everything's there mate. Like I said, I didn't change any of the directories. No idea what's wrong. Is there anything else I may have to download? I only downloaded and installed the "Win32 installer" version 0.60 . Didn't download the rest...didn't understand it...

It's possible that there might be a bug in DOSBox that doesn't handle A) longfilename directories, or B) 0x20 (space) in directories.

After hours of trial and error, I have found the problem.
The "error" shows up if you use the easy method of "copy" and "paste" the DOS game executable file (e.g. Burgertime.exe) to Dosbox.exe (Note in the readme file, it says you can do that).

But for some strange reason, when you copy-paste it - dosbox does not recognize the directories it's in. Doh.

So, I tried dosbox again, manually ...meaning by typing the standard
"Mount c c:\burgertime" then typing burgertime.exe

Tried Control F5...it worked. Picture safely saved.

I hope this helps other people who find the same problem.
Conclusion: If you want to get some screenshots, you have to mount the DOS game manually. Don't copy paste.

Yeah it took me some time to discover it too 😀.
Dosbox can't find dosbox.conf if you load a game this way, I don't know if this is intended or a bug.