Here's a little work-a-round using code to save a screen-shot of your games.
in an object in the Create Event
, create a variable 'num = 0';
This is to track auto-numbering of the generic filename to save the screen-shot.
In the 'keyboard_released_letter' event e.g i used "S" place this code
var screenshot = background_create_from_screen(0,0, window_get_width(), window_get_height(), false, true);
fname = get_save_filename("Save screenshot (*.png)|*.png", "screenshot"+string(num)+".png");
if (fname != "")
//background_save(screenshot, "screenshot_"+(string(num))+".png"); //use this for automatic screenshot numbering
background_save(screenshot, fname); //use if you want to give custom filename
num += 1; // you can leave this
show_error("File not saved!", false)
Please note that in Linux you would need to have a Dialog API set to either Zenity or Kdialog for it to work.