On your computer, are you familiar with the concept of the clipboard? If not, then this is some bit of storage area on your computer that lets you store things temporarily. For example, you could copy the text from this website into the clipboard, where you could then put into an essay by pasting it into microsoft word.
PrntScrn takes a copy of whatever's on your screen at that moment, and puts it into the clipboard. There's no flashing light or sound to let you know this has happened, though.
To get the image to somewhere useful, you need to paste the image out of the clipboard. One easy way is to open Paint (Start->Programs->accessories usually), and then click file->new then edit->paste.
Holding down the alt key as you press it, as peanut suggests, causes only the focused window to be put into the clipboard, and not your entire screen image.