What you need to do to screengrab a specific window like you are trying is to press shift+apple+3, (this brings up the crosshairs) THEN hit spacebar. This puts it into a mode where it will screengrab any window you hover over. Then just open it in preview in save it in whatever format you like.
Edit: ooh.. yeah.. how did I miss MJ's post. whoops. Well, if my post is ANY help at all, it's that you don't have to press all four keys at once. Just the first three, then hit space afterward.