The next step in the process of taking a screenshot in Windows XP, is to paste the data which is now in the clipboard into an image manipulation program, such as MS Paint or Photoshop. You can do this by creating a new file in your image manipulation program, then selecting Edit > Paste. This will paste the image into your program.
The final step is to save the new image, in whichever directory that you choose. You now have your screenshot.
It's worth noting that you may have to do a bit of work in your image manipulation program to make the size of the image appropriate for the size of the screenshot. In some cases you can do this when you create a new image. It's also possible to increase the work area on an image later in the process, allowing for enough room to fit the screenshot.
So, that's how you take a screenshot in Windows XP!