Hannah - The screenshot function does not work except for the 7100 and 8700 (guessing) series BlackBerries. This is not a issue with JL_Cmder, but rather with javaloader.exe itself. JavaLoader was not able to capture the screenshot and save it to disk. JL_Cmder does not currently look for the existance of the screenshot, so you see an error when attempting to open a non-exsistent file.
As a work around, you can download the BlackBerry JDE Kit. This will install a number of BB simulators which you can capture screenshots from the simulator itself.