Just a quick tip for anyone else reading this...i made a "screenshots" post a few days ago about the same thing.
I'm using Vista, and i didnt have a screenshots folder. However, i used CTRL SHIFT TAB to go to windowed mode, and it took a screenshot with PRINT SCR after that...but only in windowed mode (not in full mode). I'm not sure what the deal was, so i remapped the screenshot key to CTRL SHIFT S (so i can just CTRL SHIFT Z to hide the HUD and S to take the picture real quick...i actually have that mapped to my G15 keyboard !).
So if Print Screen doesn't work on your keyboard, try remapping the "take a screenshot" key in the game to another key and see if that works 
afterwards, i had a nice screenshot folder and everything
yay.
now just to find out if there's a location in an ini file or something to change the screenshot output type. bmp is crap resolution.