For example;

You are playing, or viewing the advances whatever. You press ALT+[PRT SCRN]

Now the screen is in the clipboard. Exit the game and load your graphics program. If you don't have one use MS Paint.

After the program opens go up and click on [EDIT] then click on paste.

You will see a message box telling you "The image in the clipboard is larger than the bitmap. Would you like the bitmap enlarged?" Click [YES]

Now your screenshot is in paint and you can save it. It would help to use a better program so you can modify the image. However the simple goal is get into a file. Then at least you have it saved somewhere and can work with it later.