Windows Toolbox: Screen Capture Made Easy
You can always press <Print Screen> to copy an image of your screen to the Clipboard (or press <Alt>-<Print Screen> to copy just the active window). But this usually leaves out the cursor, and you have to paste the image into an image editor. A fast and free alternative is FastStone Capture, which supports bitmap (.bmp) files and other output formats, and provides an editor for you to tweak your capture before saving (with automatic file naming, if desired). I'm particularly fond of the utility's Capture Object option, which lets you press a hot-key and then point to the object (window, menu, toolbar, etc.) to be captured.