Microsoft, who are not the most deft in dealing with the media, did not see much need to make it easy for bloggers to write about their OS, and Windows phone 7 therefore lacks screen shot functionality, with no plans to implement it.
It seems, from this Facebook post, that Julien Schapman, well know for his TouchXperience work, did not find the problem so difficult, in fact noting Microsoft could have done it easily.
Hopefully Julien will release the software soon, as I cant think of a feature more in demand by those writing about Windows Phone 7.
Thanks tezawaly for the tip.