I think it works differently on different operating systems. Do you have Windows Vista? “Snipping Tool” might only be available on Vista. If you have some other OS, you might have a different screen shot program. And it would probably work a different way (Print Screen + Alt or whatever).
If you do have Vista, check out this MS page:
http://windows.microsoft.com/en-US/windows-vista/Use-Snipping-Tool-to-capture-screen-shots
Yes this has vista, Thanks for the link....