From what I've heard you either have to take a screenshot and then "paste it on to Paint" or something like that or use a program like Fraps to capture screenshots.
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My life has the tendency to fall apart when I'm awake, you know?
Pressing PrtScr doesn't automatically save images anywhere. It basically copies everything visible on screen, and you have to do as theenemy said and paste (ctrl-v) this to your image editor of choice. You can save the image as jpg or whatever afterwards.