The standard Windows printscreen feature works, but it only saves the image to the clipboard, and you have to manually paste it into a graphics program.
However, there are third-party programs out there that will automagically save the screen shots to a file, so you don't have to alt-tab out to paste the clipboard contents. My personal preference is for Multigrab, a "free as in beer" Windows program that remains resident in your system tray, and will save up to 1K shots before the file names roll over and write over previous files of the same name.