if this is a serious question, then it depends on what operating system you are using. Usually, a dialog box will pop up asking you where to save it and what to call it. AT least my Fedora linux does. DOn't know about windows, don't care.
When you press the Print Screen button, a bitmap image of your desktop and all open apps is copied to the Windows Clipboard. There is no pop-up or dialog box confirmation, it's just there. You can then paste it into any graphics software such as Paint or Photoshop.