If you need to edit the screen shot, you will do better to paste it into a
photo editing application, edit it there, save it in a standard graphics
format (GIF is good for screen shots), and then use Insert | Picture | From
File to insert it in your document. This has the advantage that you can use
the same graphic multiple times and that you still have the source file if
anything happens to the picture in the document.
For more sophisticated screen captures, I highly recommend SnagIt from
TechSmith (
www.techsmith.com), which I use for all the screen shots at
http://home.earthlink.net/~wordfaqs.