An instrument state won't suffice, as the center frequency will be different each time.
We don't have an explicit tool I'm aware of to do this with our instruments. You could, however, use SCPI commands to automate everything your EXA can do (here's the manual) including saving screenshots and transferring data through a LAN or GPIB. You can embed SCPI commands into, for example, a Python script by installing PyVisa. Here's an example from another forum thread of how to start your Python script and send SCPI commands. You can connect remotely in just about any major language - C#, C++, LabVIEW, Matlab, Perl, even Visual Basic if that's your cup.
If you need to be working directly on the instrument, you could try looking for a macro recorder program that just works through Windows but I'd advise caution because some of those programs are not made by reputable sources.
Retrieving data ...