L.
Presumably you have ms paint, it comes with every version of windoze I have seen. If so when your screen saver is running hit the print screen button, open up 'paint', click on edit, click on paste and you should then see your picture appear. Click on file, click save as, then save it to a convenient location. (Also works with Word but you'll end up with word doc instead of a picture file). You will have to do each pic individualy coz as you say, once you hit the print screen key the screen saver disappears.
Alternatively the knife and fork method would be to do a search from the 'Start menu' for *.jpg this will probably take a while and a little trial and error as you will end up a list containing most of you picture files. Open up the picture files in turn until you find one of the pictures from the screen saver. Note the location of that picture then go to that directory and you should then find all the other pics from the screen saver. (If after doing the search the location isn't shown next to each file, click on view and then on 'details'). Another tip if you are using xp (and possibly me/2000) is to right click on the .jpeg file that you want then click on 'open folder containing'. This will take you straight to the folder you want. Then all you have to do is copy and paste the pics to a folder of your choice.
I suggest the first method, 'Paint' can be found through the start menu, programs then accessories.
The second method may take a while, especialy if you have lots of airplane pics or porn on your pc
