If you're using Lemmix (my updated versions; not the original one) or NeoLemmix, you can press I* on the preview screen (or at any time in-game, but this saves the current state of the map, not the initial one). Lix also offers a similar feature although I'm not sure off-hand how to use it.
You can also save images from the NeoLemmix Editor; just go "Save As" as usual, and select PNG format from the dropdown box. Note that saving from the engine is generally more accurate; eg. saving from the editor map render some objects that should be visible as not, won't correctly render pre-placed lemmings as blockers / zombies where applicable, etc.
Aside from doing it via the NeoLemmix Editor (or manually taking screenshots and putting them together), I don't know if there's any way to do so for Lemmini / SuperLemmini levels; you'd have to ask someone who's more familiar with those engines.
* If you've reconfigured the hotkeys in the case of NeoLemmix, it might be a different key instead. Whatever you've configured to "Save Image". I is the default key.