There are lots of ways to capture screenshots and lots of programs available to do this. The following will explain how to take a screenshot without installing any additional software.
Press the Print Screen button to capture the entire screen. This will copy what you see to the clipboard. You can then paste the screenshot into an image editor. If you don't have an image editor available Microsoft Paint should do the trick. It is usually located under Start / Windows button -> accessories. In Vista you can press the windows button and type "mspaint".
If you would like to capture a single window you can press Alt + Print Screen button and only the currently selected window will be captured.
Press Command + Shift + 3 for a full screen. This will create a file on the desktop that you can use.
Press Command + Shift + 4 to make a selection area.