If you have Windows XP, save them as .png from Windows Paint. Use alt-printscreen to capture the window, paste it into Paint, crop as necessary, and save as .png. This way, you won't lose any color info and it will remain a small size. JPG is not a good format for screen shots. Photos only. And GIFs are 256 colors, so you may get a gradient effect by accident if you have more than 256 in your source.
For your reference, there was another recent discussion on this topic at http://www.elitetrader.com/vb/showthread.php?s=&threadid=19232