Or alternatively you could try running it through
Steam: when you add a shortcut for a non-Steam game (run Steam --> choose Library --> click Add a Game on the bottom, then select Add a Non-Steam Game), you can use the assigned key (F12 by default) to make screencaps. They are stored in JPG format and will be placed in a folder (deep) inside the Steam folder, but you can access them with just a few clicks directly from Steam. It also automatically gives names to them (in yyyy-mm-dd_number format) and makes thumbnails. It's a very convenient way IMHO.