Its in the Index, but here is the procedure... and the direct answer is that its not captured to a file:
For Windows XP, there is a very crude, but simple, print screen built in...
1.a. To capture whole screen: Hit the Prt or Scr/SysRq key
1.b. To capture only active window: Hit the ALT+Prt or ALT+Scr/SysRq key
Note: You might need to hold SHIFT, depending on keyboard
2. Open your graphic editor (e.g., MS Paint)
3. Paste the clipboard (e.g., CTRL-V)Quoted from MS KB173884:
How to Capture Screen Shots in Windows Using the Print Screen Key
Article ID : 173884
Last Review : December 16, 2004
Revision : 3.2
SUMMARY
This article describes different methods of capturing images on screen to the clipboard.
MORE INFORMATION
To capture a screen shot of the entire screen to the clipboard, press the PrintScrn key.
To capture a screen shot of the active window or dialog box (for example, the WordPad application window or the File Open dialog box), press ALT+PRINTSCRN.
The SHIFT and the CTRL keys do not affect the full screen capture.