Most users simply hit the PrintScreen key on their keyboard to capture an error message that is on their screen. The error may be a simple window, message dialogue, etc., however most users send the entire screen print. I have used TechSmith's SnagIt for quite some time for most of my screen prints -- this way I can capture just the area that I'm interested in.
I learned a neat trick today that I didn't even know about.
If you simply hit ALT-PrintScreen, you will get a screen print of the active window. I.E., an error message box, etc.
If you simply hit Ctrl-C on a message box that has text that you wish to copy/paste, you it will select the text from the window and put into your clipboard.