If you already have photoshop you can use image ready to make animated gifs or Macromedia Fireworks works well too.
Instead of using print screen I would just use the SAVE A COPY option in the file menu. It will only allow you to save your image as a tif or jpg but I believe if you are using image ready or fireworks you can still bring those images in without any trouble. Mabey not though, I'm not sure and I don't have either program with me at work here to try it out.
Like proed was saying if you do not want a blue gradient backround you will have to change your config.pro options
Failing using Max which I agree is great software if not a little pricey, another option is Camtasia recorder (a free downloadable trial copy has all the functionality of the full product and it comes as part of a suite to edit the animations once they're done too).
It allows you to record direct from the ProE window and is dead easy to use....Wayne