You can right-click on each image and export it individually.
If you want a comparison view like you see on the screen, you will need to do a screen shot (alt-PrtScn on Windows).
That's what I've been doing. I thought maybe there is a better way. I'll mark it as the right answer. Thanks.
There's an alternative which may provide you with useful options (such as borders, text labels, watermarks, etc.); that is by using the Lightroom Print module. Arrange each image in a two-up layout (Custom Pkg.), and then when it's arranged as you wish, do a "Print to JPEG File..." Yes, it will involve a lot more effort than screen-capture, but something to consider when the effort is justified.