Myself use the the solution How To Take Screenshots Of Android Device
mentioned by John Huang. I like this native method offered by Google partially because I have a developer background. I only need the basic screenshot feature thus DDMS is good enough for me, also the DDMS tool offers some other useful features.
Regarding the question of how to install SDK, Google has a tutorial page Installing the SDK | Android Developers
. It is actually pretty simple to follow.
Hope this helps.