What does it do?
The pick up feature allows you to keep a record of the shots hit on a hole before you picked the ball up for what ever reason.
Say you are playing in a matchplay competition and your opponent concedes the hole but you have just hit the longest drive of the season, this would be the ideal situation to use the pick up feature. Your drive would be saved but the score for the hole wouldn't contribute to your scoring stats.
How do you indicate that you want to pick up your ball?
Ideally, stand at the location where your last shot finished. Scroll through the screens by pressing the menu button (middle button on the left side) until you arrive at the second PinCollect screen. On this screen you will see the option 'Pick up' to conform that you wish to pick up, press the bottom left button.