To take a screen capture of the entire screen, press PRINT SCREEN. To take a screen capture of just the active window, press ALT+PRINT SCREEN.

To save this screen capture, open Paint by clicking on Start, All Programs, Accessories, then Paint.

Click Edit then Paste. (Your screen capture should show up.) Click File then Save. Enter a name in the File name box, and click Save.

Also see Microsoft's instructions.