This is the old Zelda Classic web site (as of 12 Oct 2000), now hosted by jcraner.com. Broken links have been removed.
Go to www.zeldaclassic.com for the current, official site.
Zelda Classic makes it easy to take screen shots. Just hit F12. You can pause and step the game with F3 and F4 to get things just right.
The screen shots are saved as 256x224 bitmaps in 256 colors. Since they only use 256 colors, they can be perfectly converted into GIF format. In MS Paint, all you have to do is load an image, select "save as", and choose GIF format.