The screenshot issue seems to be more obvious in WinXP. When I was running Windows 98, I could take screenshots fine with PrtScn. But when I upgraded to XP, it simply wouldn't work - I tried external capture programs, command lines etc etc.. Nothing I tried worked.
If you want to experience DF in the most authentic way, with all of its features, get hold of an old 486, or any other old PC - not exactly going to cost you much, and set it up exclusively for DF
By the way, this one's for you txa1265