It works fine for me, though your gfx card and/or driver may prevent it for you.
You could try using one of the many free screenshot tools available, like
Lightscreen -- however, I assume most of them used the same technique to captue the screen as windows does, so the result might be no different.
It's worth a try though

Also, maybe check if you have the latest driver for your graphics card installed.
~HKK