You can't paste the screenshot into paint like normal. Instead, when you take a screenshot it automatically saves a screenshot file in your starcraft folder. Look for it and you can open it with microsoft picture viewer or whatever else can view PCX files. PCX files are uselss though and I hate them so you have 2 options:
1. Either get a PCX -> JPG/GIF converter (
http://www.filetrial.com/convert/pcx.html)
OR
2. Open the file with microsoft piture viewer and take a screenshot of THAT. Then do the normal paste into paint, etc.