My favorite program (also quite popular) for screenshots is
Fraps. It saves the screens in a specified directory, time stamps them I think to the millisecond, it automatically uses the application's name for a screen's base name, and it works for any DirectX application. It works very fast and has a number of other features like video capture, framerate, and benchmarking capabilities. I love it because I take a LOT (a LOT!!) of screenshots in games and it is a perfect way to automatically have them all grouped together and neatly labelled.