What happens during a skin cancer screening? Do they take biopsy tests?

Exam +/- biopsy. First, your doctor will examine your skin primarily by looking at it. If any suspicious lesions are noted, he may recommend biopsy or treatment with liquid nitrogen. This is done in the office, and is not a big ordeal.
Depends. Most group screenings are set up to see many patients in a small time frame. If that is the case, suspicious lesions will be referred and biopsy done at another time. However, if you see a dermatologist in his/her office, you may have the biopsy done at the original office visit if needed.