It's very, very simple.  Find the PrtScn key on your keyboard.  Hit it.  If you have been very good and have the Paste As New Image shortcut on your toolbar, that will light up.  Click on it and it will paste the capture into PSP.  This will also work anywhere you want a capture.  On the web and want a capture?  Hit the PrtScn and start up PSP.  The Paste As New Image will be lit up/active.

What format should I save a screen capture in?

If you aren't sure what you are going to be using your capture for, it would be best to save it in the .psp format for now.  If you are writing a tutorial, there are important instructions for the format to save in.  If the capture is of text, tool options, tool settings, any of those grey windows with instructions that come up in psp, then reduce and save it as a .gif file.  If you save as a .jpg file, the .jpg compression will blur and give poor quality to these captures.  Have you ever been stuck reading a tutorial where the settings are all blurry?

Another tip for saving any tools with settings is to NOT try and reduce the pixel size.  If you have a 500x300 capture of a tool setting, you need to leave it that size instead of trying to save space by reducing it to maybe a 300x150 pixel size file.  When you reduce text, it gets blurry and too small to read.

If your screen capture is of a graphic with a lot of different colors, you should save it as a .jpg so you can retain all those colors. Gradients do not look good if reduced to a .gif file.

Basic windows colors such as the basic blue, red, green, yellow, etc. will often look best as a .gif file.  They will remain pure.  Often you will notice reds especially looking bad, all blurry and spotty.  Reds are tough.  When red is part of a graphic that has millions of other colors, you have to then save as a .jpg but be careful with the amount of compression you use.  See the compression tutorial.