Are you using Windows? If so when you "copy PGN" the game will be downloaded to your PC (?) and you can open the file with a chess program such as Fritz or a DB such as ChessBase DB 2012 (or any other year).
Read this for an explanation of PGN - Portable Game Notation: https://en.wikipedia.org/wiki/Portable_Game_Notation
As for the diagrams, beats the heck outta me. Maybe someone else knows...
and save diagrams to be printed? I see the copy PGN but what does It mean and how does it work? Are there directions?