The HOWTO & FAQ forum is for _answers_ and _guides_, not questions and problems. Please do *NOT* create threads there, if you don't want to write a FAQ or a HOWTO. Thank you.
Now on to your question. Are you talking about booting into Windows XP SP2 or Windows Vista using BootCamp? Or are you talking about using Windows in a virtual solution like Parallels?
For both situations, the answer is a "yes". There exist a lot of tools for taking screenshots of Windows. However: Those screenshots won't capture anything _outside_ of Windows, i.e. you can't use a Windows screencapture tool running in a Parallels virtual environment in order to take screenshots of what you're running in Mac OS X.
Mac user since 1987. Running Mac OS X 10.8 Mountain Lion on a MacBook Air 11" & an iMac 27" and whatever's newest for my iPhone 4s, iPad 3 and AppleTV 2.
Apple Certified System Administrator 10.6, Apple Sales Professional 2008-2011, Apple Certified Mac Technician.