Windows has always had the native screen capture functionality via the Print Screen button, but this is extremely limited to just capturing the full screen or the active window. Of course, then you had to paste this capture into another program to actually save the image making this a rather cumbersome process. Windows Vista now has a much improved utility for handling this called Snipping Tool (available via Start > Programs > Accessories).

The link above gives you brief walk through of how to use it, but it should be self-explanatory. It allows you to custom select the capture area, markup the resulting image and save it without having to go through another program.

For the most part, this utility should meet the needs of 95% of your screen capture needs.