You have to install the android software developers kit and the usb drivers. Install the latest java developers kit then run a tool found int he android developers kit called ddms.bat. That gives you screen shot capability.
Droid Screen Capture – How To Droid Bugs
the above link takes you thru a pretty good walk thru.
All in all it is kind of a PITA...but I love taking screen shots so I am glad I did it.