From the help for the Vista version of the Snipping Tool:
Can I capture a snip of a menu, such as a shortcut menu or the Start menu?
Yes. Here's how to do it: Click to open Snipping Tool. On the Snipping Tool toolbar, click the Minimize button, and then open the menu that you want to capture. Press CTRL+PRINT SCREEN. Select the type of snip you want, and then capture the menu.
In the interest of fairness i take a HUGE number of screenshots (tech support) so the win 7 tool may be adequate for most, i still find it sub par ( also for a mac shift+ctrl+cmd+4 saves a snippet to your clipboard...better than the windows 7 equivalent IMHO shift+cmd+4 to save as a file to your desktop)