Have you ever tried to explain an error message to someone? Have you tried to decipher what someone is telling you over the phone when trying to fix a bug? Don't you just wish you could get them to magically grab the screen and email it to you? Well, you can! Ever since the early versions of Windows, you've been able to hit the PrtScn button and grab the whole monitor's image to the clipboard (yes, I know, you can also hit ALT+PrtScn to grab the active window). Then you can then open up MSPaint (Paintbrush), paste the image in and then save it. You CAN do that, but that is a lot of work! :< Is there a better way?
Sure there is, but until Vista, the best solution was something called SnagIt! And you had to pay for it. But with Vista, there is a new kid on the block called Snipping Tool, and this is what it looks like.

It lives at: c:\windows\system32\SnippingTool.exe
It's a very simple interface. You run the tool and your monitor (or all your monitors if you have multiple) is shaded out, you have red crosshairs to draw a rectangle around what you want to capture and after you select what you want with your mouse, you'll see it below the Snipping Tool program. Afterwards you can add your own "annotations" (write with a pen or highlight areas) and then save to file or to the clipboard. Afterwards you're able to paste the image into an email or your but tracking system.
As somone I used to work with used to say was, it's a "storyboard." Yup, very accurate and I couldn't agree more, that's exactly what you're trying to do when creating a bug report. You want the project manager, developer, QA specialist and release specialist all to know what you're seeing without EACH of them coming to bug you to ask what you were doing to get THAT message so they can do their jobs. In other words, the more information you can create for them from the get-go, the better and more efficient it is for you in the long run.
Try it out, I'm sure you'll start to use it more and more!
References: Microsoft website reference to Snipping Tool