Is there a support in embree library to save an image (bmp, jpg, png etc.) of the renderered scene? If yes then how?
Yes just use the -o option, e.g. ./render -c cornell_box.ecs -o cornell_box.jpg. For JPG to work you have to install ImageMagick as described on embree.github.com. Under Windows Embree was never tested with ImageMagick.However, under Windows you can export tga and ppm files.