Actually, you held the ALT key while pressing PRINTSCREEN to copy the image
to the clipboard. Once you have your cursor where you want it, press CTRL+V
to paste it. If you plan on doing a lot of these, you might want to
consider using "Edit", "Paste Special", choosing the "JPEG" option, then
pasting it. This will result in much smaller file sizes. The absolute best
way is to paste the image into an image editor program, save it as a JPEG,
then switch to Word and click "Insert", "Picture", "From file".