Whenever I accidentally push print screen too fast it does nothing, so try holding it for a half-second or so. Otherwise everything else should be working. When it works it will say, "Saved Screenshot to ScreenShot."
Oh, make sure you keep that wounded cerberus. At the end of one of the acts (forgot which one) you have to have that one out to finish. He also takes it away then, so I wouldn't train him too much. It would really suck if you couldn't continue the story because of that though.