There are a couple of ways that work for me. I think I had to change a Steam option to get one of them to work. Where they go depends on your setup.
F12 -- I think this is the default Steam one, and I think it goes to your screen shots folder in Steam.
prt sc -- Since I have "Dropbox" installed, it goes to my dropbox folder.
????? There is the basic default one that comes with Windows. This may be prt sc or ctrl-prt sc and it goes to the system's clipboard. You have to use a picture or photo editor to capture it and file it.