I have set my screenshots in the game Menu>Options>Keymapping set like this:
This setting shows NO UI interface in the game so I can get shots without any chat, etc. An example is this mission pic. There was a lot of NPC and team chat and as you can see, the shot is clean with no UI windows.
These kind of shots always show up in the folder where you have the game program installed (the CoH folder you created) in 'screenshots'. The very first picture at the top just shows up as the blank grey wall I used to display my keymapping settings.
To get pictures with all the UI included, after I hit PrtScr, I open my default picture manager (in my case it is XnView) and click on 'import clipboard'. The shot I took shows up there and I can save it.
There is also a screenshot program I have that captures everything. It's called FastStone Capture, and this is the last FREE version. You can capture the entire screen or a selected area. It works like the windows Snip and it's a nice little proggy.
http://www.aplusfreeware.com/categories/mmedia/FastStoneCapture.html
This is what works or me, and has since I had WinXP (Win 10 now.) Hope it helps.