First off, welcome to the org!
Please take a look through the org Forum Rules
. Asking where to download anime is against the rules
That aside, the bloggers get the screencaps from the episodes themselves. Some media players allow you to take screenshots, but besides that you can always use print screen while watching the episode. Press the print screen button (usually found around the insert, home, page up, and page down buttons). Then you can open a program like paint, photoshop, GIMP, etc... and press ctrl + v. Crop the extra bits out and you have your screenshot.