What does it do?
The pick up feature allows you to pick the ball up on a hole and to clear the shots from that hole.
Say you are playing in a matchplay competition and your opponent concedes the hole, you can press pick up and that hole won't contribute to your stats since it wasn't completed.
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.