Alt + Print Screen captures just the main window rather than the whole desktop.
Also Windows 7 has a Snipping Tool for capturing any part of the desktop as an image. You can select what part of the screen you want to capture and save it as graphics image.
In my version of PSP , you need to have an image already open before you can paste (even though you can then choose to "paste as new image"). It seems to be a bug or design fault in some versions of PSP.