After each frame is rendered it is saved to disk automatically. You tell it what filenames to use in the Scripter program. You may find that your images have already been saved if you look on your hard drive in the right place (you can see where Terragen tried to save the images by looking the script file in a text editor).
Once you have all your images you would need to compose an animation from them using some other program, e.g. VirtualDub (free) or QuickTime Pro (not free). Some other users may be able to suggest alternatives.
Matt
