It was amazingly hard to find a decent, free screen capturing software. FastStone Capture is a good piece of software, but unfortunately it turned into a paying application when it gained sufficient popularity.
But still, there are a few free screen capture software available, although it can be a bit hard to find them, as they are not reachable within a few Google search.
So, to save you from frustration, let me introduce you Fogbugz Screenshot tool, which is a screen capturing tool from the courtesy of FogBugz. Fogbugz screenshot tool is a windows service, it loads up when your Windows boots up and so you don't have to find it when you need it. It's right there, at the bottom right corner.
You can download it here.
FogBugz screenshot 1.0 didn't have a "Save to File" option. But thankfully FogBugz people listened to the popular demand, so now you can use it just like any other screen capturing tool!
BugShooting is also one of the free screen capture software, though I haven't try it yet.