From the help for the Vista version of the Snipping Tool: Can I capture a snip of a menu, such as a shortcut menu or the Start menu? Yes. Here's how to do it:

From the help for the Vista version of the Snipping Tool: Can I capture a snip of a menu, such as a shortcut menu or the Start menu? Yes. Here's how to do it: Click to open Snipping Tool. On the Snipping Tool toolbar, click the Minimize button, and then open the menu that you want to capture. Press CTRL+PRINT SCREEN. Select the type of snip you want, and then capture the menu.