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.
(since 0.62).

Thank you so much! much appreciated!
captures=C:\Program Files\GOG.com\Descent and Descent 2\Descent\capture
did i put that in right?
I must not have cause i still cannot make it work. :-/

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.
(since 0.62).

?
Print screen should work, after the print screen press using the windows key to get the task bar up, minimize the game and paste the capture into something like Paint.exe

When you hit PRNTSCN, it automatically saves the screenshot to your Descent folder.

But in Descent, the default key is PRNTSCN. Try it, it might work.

I remember now, that Descent has it's own screenshot routine - however, Ctrl-F5 definitely does work in DOSbox. Most of the above advice is about the DOSbox capture feature - the Descent screen capture won't be affected at all by DOSbox settings!