1) To capture the whole screen: COMMAND, SHIFT, 3
2) To capture a window, dock, menu bar, etc: COMMAND, SHIFT, 4, then press spacebar to choose.
3) To capture a selection: Same as 2 but don't press spacebar, instead click and drag mouse.
4) Go to Macintosh HD, Applications, Utilities, and click on Grab.
BTW: when you get a screen shot, it saves to the desktop as a PDF file and not to the clipboard.