There have been good answers already:
- Use a VM like VirtualBox or VMWare to install Windows so you can take pictures of the setup process from the host environment.
- Use digital camera to make pictures (with noticeably lower quality of course)
However there is usually no direct way to take screenshots from the BIOS setup assuming you want to get pictures of your host machine BIOS. The PrintScreen button might work in the BIOS but it will usually send the text-based output to the printer. Newer EFI/UEFI based ROMs might have built-in screenshot functionality but I've personally not come across such a feature in recent implementations. Moreover you would need storage like a USB stick with a file system writable by the setup tool (usually this would not be any Windows/NTFS drive).
Another solution might be a remote console device (also called IP KVM) as provided by companies like Raritan. These devices are connected to the video output (as well as keyboard and mouse) and provide a web interface which shows the screen output remotely. For VGA output the screen output is converted into digital pictures again; so strictly speaking it's not providing you the exact picture. You might also be able to use a DVI/HDMI frame grabber device like this which is simply connected to the DVI/HDMI output (such devices also exist for VGA but again, some quality loss might apply) and provides you with digital images again.
Also some management interfaces like Intel vPro or proprietary solutions might provide remote screen. However this is technically identical to the IP KVM solution in the end.
All these solutions require additional hardware or special hardware which has this capability already.