I posted some procedures back in October on Sprint's BAW.
Hero by HTC:HERO Screen Shots made EASY! With...
Windows Version
1. Download the Android SDK from Google;
Android SDK | Android Developers.
2. Extract all the files in the ZIP file leaving the directory structure in tact.
3. Connect your Hero to your host PC via the supplied USB cable. Follow the HTC manual on loading the USB drivers as necessary.
4. Go to the directory where you extracted the Android SDK and execute the 'DDMS.BAT' file in the \Tools sub-directory which will launch the Dalvik Debug Monitor program.
5. On the Dalvik Debug Monitor program's 'name' list, if you do not see your Hero listed, then your 'USB debugging' is turned off on your Hero. To turn 'USB debugging' on, go to Settings/Applications/Development on your Hero handset and toggle 'USB debugging' on and you should then see your Hero listed on the Dalvik Debug Monitor.
6. On the Dalvik Debug Monitor highlight your Hero on the 'name' listing and then on the menu, select Device/Screen Capture. Or, you can just hit <CTRL-S> if you want.
Enjoy...