Clicking the print screen button on the top-right of your keyboard (its name is usually abbreviated, e.g. Prt Scr) will save an image of the current display to the clipboard. You can later paste that image inside a suitable application (e.g. paint). Of course, that means only one screen shot at a time, since hitting the key again will override the clipboard.
Additionally, a lot of games have a special treatment for that key, and they will actually generate an image file themselves in some folder (typically under My Documents or AppData).
If you run a game with the Steam overlay on it (whether a real Steam game or just an external game launched through Steam), Steam has a special mechanism for taking screenshots, which saves the images to a special location and allows you to easily upload them online to the Steam cloud. The default key for taking Steam screenshots is F12,