I press the print screen button, but nothing happens and no picture files show up in the Descent directory.
Is that feature broken cause of Dosbox or is it something else?
Try this site http://www.dosbox.com/wiki/Dosbox.conf
Edit the dosbox.conf file
captures = path-to-capture-directory
Directory where things like music (wave and MIDI) and screenshots are captured when special keys CTRL-F5 and CTRL-F6 are used. Screenshots will be captured and saved as (PNG) files with a resolution of 320x200.
Note: The capture directory will not be created automatically - you must create it before you start capturing music and screenshoots, otherwise nothing will be saved. As of v0.73 (possibly prior) it is created automatically on first use.
Default is capture.