The previous poster was actually asking for a screenshot in Bootcamp, so OS X shortcuts and Grab would not help much.
FWIW, I work hard to avoid cluttering my desktop with surplus files. So my preferred short cut doesn't create a file at all until I want it to.
So, with extreme coordination and dexterity, and only when sober, I use Control-Command-Shift-4. This gives you a selection cursor, and puts your chosen area of the screen on your clipboard. You can then paste it straight into an email or another document without ever creating a TIFF file on your desktop.
Or you can "New from Clipboard" in Photoshop Elements or Preview, or maybe any other graphics application of your choice, to create an editable copy of the captured image. Then you can save it in a file format you prefer - jpeg or whatever, at the quality level you need and in a useful location on you hard drive.