This is a great video explaining how to take pictures of your screen.

Command Shift Three takes a picture of your entire desktop.

Command Shift Four gives you cross hairs to get a picture of a selection of your screen.

Command Shift Four plus Space gives you a camera icon that lets you select any window, even those that are behind other windows.

These pictures are created on your desktop.

Here is a great video explaining how it works.

http://www.apple.com/business/theater/#tutorial=snapshotsscreen