some games do have an screen shot function (like pressing for example f12 takes a ss and puts it into the folder C:\game directory\screen shots\ or something like that.
But if there isn't (or even if there is, but you don't want to use it) you can use the print screen and past it into paint, it works fine on all games.
Also if you are taking a lot of screen shots it might be worth to get a program like fraps since then you don't have to go and paste it into paint.
Also, some games have screen shots turned off. Oblivion is an example. In order to get screen shots on there, you need to modify one of the .ini files.