This has been asked before, but...
In the other thread, Fraps was suggested, but I was told that the quality isn't very good. I use a program I learned of from flight simming called FSScreen. Just google for it. It doesn't do jpegs, bitmaps only, but you can convert them to jpegs with much better quality yourself than a screenshot program will save jpegs as.
Very small and simple program. You just hit print screen button like you normally would to paste, but it automatically saves the .bmp on the harddrive.