That makes a "copy" of the screen. You then have to "paste" or ctrl-v that image into an image program such as GIMP (which is free). Save and print etc. from there.
I am a total nerd with no life. Just got through playing Mafia 2 on my triple monitor setup while streaming a movie to my ps3 from my pc. Any more tech questions fire em this way.
Look for the Prt Sc button. This is print screen. You either have to hit that, then paste it into paint or whatever, or you have to hold the Fn key and Prt Sc.