What kind of screen shot do you want to make?
In game? Press "alt+s". You will find the screen shot in your AH2 directory. Open it with any graphics program and save it as JPEG.
Desktop? Press the "print" button on your keyboard (that works for me). And do just as lasersailor explained.
If this doesn't work, you might search for a program that makes screen shots. Just search on the internet for it. There are dozens that make it.