Hey Andy,
Well yes and no. You don't one, you can use mspaint. press print screen and then insert it into paint by using ctrl+v. But there programs that can make the screenshot for you. if you look under pilot -> download you find a program named FS Screen you can use that. It will save you screenshot to your harddrive as bmp. On avsim you can search for a program named screenshooter, it will do the same as FS Screen but you can choose the size and to save as bmp or jpg.
Hope this helps you.
btw: I also have another place where I fly. As a matter of fact I have more hours there then I have here.