PrintScreen: Screenshot of the entire screen (i.e. all windows)
ALT + PrintScreen: Screenshot of only current window (i.e. window in focus).
However, what if you need to capture a screenshot of the current window with a drop down menu showing? That is a bit more difficult as the drop down menu disappears as soon as you press the ALT key. So there are 2 ways to do this:
You could grab the entire screen using PrintScreen and bring the capture into Paint (or any other paint program) and cut out the part that you need.
However, there is a much simpler solution. Put focus on the window you want to capture. Close the drop down menu if open. Press ALT + (letter to open the drop down), keep holding ALT down, and press PrintScreen. You can even move the mouse around to highlight the item you want as long as you keep holding down ALT.
For the screen shot below, I pressed ALT + v (to open View), then I moved the mouse to open "Text Size", then I pressed ALT + PrintScreen to capture the window plus drop down. The important thing is to hold down the ALT key the whole time.
2017 update: You can also use the new Windows built-in capture tool called Snipping Tool. Press Windows key (lower left, typically next to ALT button), and type "snip" and you should see it pop up in your menu. Press ENTER to run. Now drag to capture. Automatically copied to clip-board. To capture menus, open Snipping Tool, and press ESC to temporarily disable to capture. Now open menus to capture, and press CTRL-PrintScreen to open Snipping Tool.
Happy screen capturing.