I use this almost every day. If you read my blog you'll notice I love screenshots and I always have a green border around them. That comes from a setting I have applied to the Vista Snipping Tool. Initially I was capturing good stuff but was frustrated when I did a right-click, then hit New in the Snipping Tool and the menu closed! You can overcome this using the Print Screen button together with the Snipping Tool.
First of all, if you haven't used the Snipping Tool in Vista just hit the Windows Key or the Start Menu and type "Snipping". It will float to the top so you can open it. The first time it will ask you if you would like to add a shortcut to the Quick Launch menu. Of course you do!
Now to do a capture, open the Snipping Tool, which will automatically cast a white transparency over your desktop and let you select an area to capture. Click on the Cancel button to get your desktop back. Do not close the Snipping Tool, just let it hang out there with the window still open.
Now right-click somewhere to get a context menu. If you want to capture it, press the Print Screen button (on my HP laptop I press Ctrl+Fn+prtsc). This will initiate a new capture in the Snipping Tool with the context menu still present.
My over-usage of this feature comes from years of doing documentation as a consultant.