It was understood that you had to have a rooted phone to take screenshots, hence all of the information below..
However, if you have an original rom, you might try briefly holding down the power button and then pressing the Home key (soft key) to take screenshots. See if this works for you. If this doesn't work, then some of the info below might still hold true for you.
For Windows users with Unrooted phones you can follow the steps below: Once everything is setup on your PC, future screenshots are just a few clicks away.
Edit: There is now a screenshot app you can buy for unrooted phones called No Root Screenshot It - by Edward Kim.
There is also a free screenshot app for unrooted phones called Screenshot Free which I haven't tried on an unrooted device.
On your Computer:
Step 1: Update or Download and Install JAVA JDK & JRE from HERE.
Step 2: Download the (Android SDK) android-sdk_r10-windows.zip (or latest version) from HERE. Unzip it and just place the full folder onto your C drive.
Step 3: Make sure you have HTC Sync installed on your PC and USB Debugging is enabled on your Desire HD.
Step 4:Go to the Android SDK folder (from Step 2) and double click SDK Manager. If it wants to update, just update the USB Driver package - plus only other smaller packages if you think you need them. You don't need the large packages and updates.
Step 5: Connect your Desire HD to your PC and let HTC Sync connect.
Step 6: In that Android folder go to the tools folder and double click the ddms file (windows batch file). Windows will ask `Are you sure?' Click Yes.
This will wake up HTC Sync probably and eventually
a Dalvik Debug Monitor window will show up.
Step 7: Click the little phone pic (if necessary) otherwise just click on Device - Screen capture.
If your phone is
Rooted - then there are quite a few Screenshot applications in the Android Market.
One good example is
Screenshot V1.4.