There are tons of programs for that. Just take a look at download.com.
Search for screen capture. Some also have features for just capturing the content of one window (like your browser ;) ) and they usually just save it to a file directly.
If you use Firefox web browser, there is a great extension (aka plugin) called Pearl Crescent Page Saver that does an amazing job of grabbing browser page screenshots.
Note that it does require Firefox v1.5 or higher. There are also some other Firefox plugins out there that do the same thing, but some of them don't work properly, or else need some messy java stuff just to work. This one works great, is free, and does an amazing job.
(Looks like they have a Pro version for $$ now, but the Basic version works just fine for free)
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