Originally Posted by Raze

In Fullscreen mode, you need to use a program designed for DirectX games [...] fraps (though it is primarily for video capture).

Fraps is my thing of choice for doing screenies: it's nice and consistent and I don't need to remember any weird magical key combinations or random directories which are otherwise so variable and often unreliable. I use it in combination with a script and ImageMagick to move the files en masse and convert them into a more respectable format like png.

I forgot it even does videos.

J'aime le fromage.