Apple have changed how screenshots are captured in OSX 10.2. It is now done with part of the graphics system called Core graphics, and is essentially a single frame capture in the default display format, which is display postscript, and then saved as an uncompressed PDF. This means that the original image format can only be PDF, though you can later export it as jpg, if you desire, or use the key command that captures the screenshot to the clipboard (Apple+Option+control+ 3 or 4), from there you can past it into preview using the 'New from Pasteboard' menu option.