I can't seem to do a print screen

I am trying to copy the files on My Music Directory and My Documents so I
searched for print screen in the Support and Help Center..
I followed the direction in the support center how to do a print screen; but
nothing happens..do you have any ideas or suggestions Thank you.

instructions:

To copy the window or screen contents
To make a copy of the active window, press ALT+PRINT SCREEN.
To copy the entire screen as it appears on your monitor, press PRINT SCREEN.
Note
To paste the image into a document, click the Edit menu in the document
window, and then click Paste.