Darn it I can't do Alt + PrintScreen cause Greenshot takes over I must have it set up that way need to disable it cause I want to try what you are talking about - Greenshot does not usually snap full-screen mode it does though do things with Steel Panthers in windows mode.
FRAPS does full screen like playing a basic windows shooter game etc.
Fraps is:
http://www.fraps.com/ it is free the free version does also screenshots the free version does also video but only for a few seconds but it is a good free program to do "snaps of full screen mode" you can specify where you send them to also like D:\fraps_screenshots