There are screen capture apps in the market but it requires a rooted phone. If you want to take a screen shot without rooting, it's a bit of an involved process.
I'm not sure why this isn't a system function because so many people want to do it, unless the theory is that your screen could be captured without your knowledge and violate your privacy. In any case, this explains it:
That's easy: the screen is a system resource that is heavily guarded in any UNIX system - and therefore it is in Android too. That's the reason you require root access for it. The iPhone and especially your old Nokia used a completely different OS. Much easier to hack too BTW.
Because then nothing is stopping a dev from making an app that takes a screenshot every time you do something secure like read confidential emails or SMS. It's a huge potential security flaw if they don't lock it.