Correct... that's fine, you then need to start a graphics program and go to Edit, Paste... the screen should show up there. Do you have Windows? Go to "Start", "Programs", "Accessories" and "Paint" should be in there. Start the program and try it again... I have XP and it works for me....when i hit shift print screen, nothing happens...
To the OP, sorry for getting side tracked...
Edit, Oops... I should have scrolled down farther to see you got it!