Meth's MTMSnap is definitely a good way for taking many screenshots. What you can also do is use Paint Shop Pro to make multiple screen captures. (This is how it works in PSP7, I'm not sure about other versions - you'd have to check.)
To configure it, start PSP7 and click File menu -> Import -> Screen Capture -> Setup... and set the options in the dialog box that comes up: you can configure what to capture (for MTM2 you'd want fullscreen), and assign a hotkey (or mouse click) to trigger it. Make sure you tick the box for Multiple Captures.
Then to start, click File menu -> Import -> Screen Capture -> Start. PSP will now minimise itself. Begin the game and press the key/button you assigned previously whenever you want to take a screenshot. When done, bring PSP back up and it will display all the screens you've captured as open image files, and you can inspect, edit and save the ones you want.
If you want to capture video from the game, I suggest to look into FRAPS.
http://www.fraps.com/
With the free version you can record up to 30secs of video footage off your screen. Note the video files created are uncompressed so will be big, so you'll need a lot of hard drive space, and you'll want to work on them with video editing software to trim the footage and save them in a compressed format.
