Ensure all the relevant windows are visible. If your sound is on, your computer should make a brief camera shutter noise. It will be saved as  "screenshot" labeled with the date and time. Earlier versions of OS X will save it as "Picture #"—for example, if it's the 5th screenshot on your desktop it will be labeled "Picture 5".
Make sure your screen displays exactly what you want to show in your screenshot image. Press Command + Shift + 3. Find your screenshot on your desktop.