Here's exactly what I do (windows 2000) to print a screenshot. First, I get the screenshot like I want it on my screen. Then, I press the "Print Screen/SysReq" button directly above my Insert key. Then, I open Paint. Then, I click "Edit", and then I click "Paste".
If that doesn't work for you, try telling us what kind of computer (what version of what OS) you're using, and we'll try to work it out.