This opens the Grab application. You will see the menus shown in the upper left of your screen, but no windows will open. To take a picture of your entire screen, click on Screen (or just use the keyboard command Apple Key + Z). A window will pop up telling you where to click and letting you know that the window will not appear in the shot. To take a picture of a portion of your screen, click on Selection. A window will pop up instructing you to drag your mouse over the portion of your screen you'd like to capture. To take a picture of a specific window, select Window. Then, click on the window you'd like to take a picture of. You can also choose Save As to give it a different name and/or move it to a more appropriate location, but note that it can only be saved as a .tiff file. Note that the file is not automatically saved.
Go to Applications > Utilities > Grab. Click the Capture menu and choose between the four different options. When the new window opens, choose Save.