I couldn’t find an explanation fast enough with Google, so:
How to take a screenshot on your PC with Windows XP:
1. Press the Print Screen key on your keyboard. Sometimes its abbreviated as PrtScn.
2. Right click on your desktop and select New -> Bitmap Image.
3. Right click on the file that was just created, New Bitmap Image and select Edit. Paint should open.
4. Within Paint go to the Edit menu and select Paste. The window should now contain the contents of the screenshot you took earlier.
5. Go to the File menu and select Save As….
6. Name your file, and save it as a JPEG. You could have just saved it normally as a Bitmap, but a JPEG will be much smaller.
7. Close Paint, and delete the New Bitmap Image if you Saved As. Alternatively you can keep it around if you find yourself taking screenshots often.
Not quite as easy as a Mac, but what do you expect.