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To copy an image of the entire screen, press PRINT SCREEN on your keyboard. To copy an image of the window that is currently active, press ALT+PRINT SCREEN.
That image is now in your clipboard - open Photoshop, and paste the image into a new document. There may be easier ways to make a thumbnail, but that will capture a screen and get it into PS.
<<added>> Ah, mahlon - went back and read your post again - you threw us all off with that Full Screen thing...your directions were otherwise on the money though...<</added>>