This can be done on stage 1 (or any other stage really, but to keep it simple, do it on 1).
1. Ensure that you have at least 1 life left and let your fighter be captured.
2. It is important to not shoot a lot of enemies before this happens because you want the capturing ship to stop at the top row after it has captured your fighter and not be in an endless diving loop -- if it's diving, you cannot get the trophy.
3. After your fighter is captured, wait till the ship which captured your fighter is at the top of the screen, and NOT diving.
4. Shoot the capturing ship, then shoot your captured ship.
5. The trophy will unlock.