When you press the "Print Screen" key on the keyboard the whole Desktop is copied as an image to memory. If you then open your favored image editor you should be able to Paste that into a new image file.

For example. In Photoshop Elements 8, goto File > New and create a new file. Then goto Edit > Paste and click. That should transfer that Screen copy into the file. I assume Photoshop does have a New option in the File menu.

With Windows 7 your Paint, (may be named MS Paint or MSPaint.Net or similar), will be in Start > All programs > Accessories. With Paint you do not need to goto File > New. Just use Edit > Paste immediately.