As mentioned you could use:
Raw String r" string "
save_screenshot(r"C:\Temp\picture.jpg", "JPG")
It should also be possible to use """ string """
save_screenshot("""C:\Temp\picture.jpg""", "JPG")
Maybe I could also reference to this answer on Stack: what-exactly-do-u-and-rstring-flags..
This basically explains how to use raw string literals in order to ignore escape sequences that derive from backslashes in Strings (mostly for regexp).