I've no idea why you held the Alt key down. Pressing Print Screen is sufficient to copy a screenshot to your computer's clipboard.
If you use Save As (rather than Save) you'll have the option to save your screen shot as as a jpeg file, which will then open in any picture viewing program. (If you're using the version of Paint that is supplied with Windows 7, Save As is accessed (via the File menu) from the blue box near to the top left-hand corner.
However if you're using Windows 7 you don't need to use Paint (or Print Screen) at all. The Snipping Tool is easier and more flexible (as it allows you to select just part of the screen if you want to). It's available from Start > All Programs > Accessories.