I don't see why "Alt+Printscreen" or just "Printscreen" wouldn't work, unless you aren't talking about taking screenshots of JJ2. But if you are, you can just use F12 instead which will produce a .tga file for 16-bit resolutions or a .pcx file for 8-bit in your Jazz2 directory. The first image will have "Jazz0001" in the beginning of the filename.

If you were just trying to take a screenshot of a video, see this post.

Btw, this isn't the best thread for posting problems, but it's not a big deal.