Little known fact: in most standard Windows (XP) dialogs, you can hit Ctrl+C to have a textual copy of the content of the dialog.
Example: open a file in Notepad, hit space, close the window, hit Ctrl+C on the Confirm Exit dialog, cancel, paste in Notepad the text of the dialog.
Unrelated to your direct question, but I though it would be nice to mention in this thread.
Beside, indeed, you need a third party software to do the screenshot, but you don't need to fire the big Photoshop for that. Something free and lightweight like IrfanWiew or XnView can do the job. I use MWSnap to copy arbitrary parts of the screen. I wrote a little AutoHotkey script calling GDI+ functions to do screenshots. Etc.
