When you select Prt Scr, the screen shot goes to the clip board.
To see it, select a a photo editing program like Paint (Select the start orb, All Programs, Accessories, Paint)
Then select Paste or CTRL +V
Windows 7 also has a good program called the Snipping Tool found under All Programs.
It lets you select any portion of the screen and save it.
http://windows.microsoft.com/en-US/windows-vista/Use-Snipping-Tool-to-capture-screen-shots