Your question prompted me to figure this out. I got it working, so here goes:
1. Download Android's SDK - HERE
2. Unzip the SDK to the root of C:
3. Download the HTC Sync tool - HERE
4. Install the HTC Sync tool (you really only have to install the pre-requisites). This installs the T-Bolt ADB drivers.
5. Prep your phone for an ADB connection.
6. Go To Menu>Settings>Applications>Development and check the "USB Debugging" option
7. Connect your phone to your computer via USB
8. Launch a command prompt
9. CD over to c:\android-sdk-windows\platform-tools\ and run ddms.bat
10. Now in the java window that pops up select your phone
11. Go to Device>Screen Capture
There is your screenshot.