There are in fact several context menus, for different scenarios in Windows. For example, righ-click on a Picture will have different options than right-clicking a system drive. What are you right-clicking when the above options appear?
If you could post a screenshot that would be extremely helpful How to Use the Snipping Tool in Vista - Vista Forums
To allow for a context menu to be captured you need to run the snipping tool, click Cancel, right-click what you need to then press CTRL+Prt Sc or Print Screen to re-invoke the Snipping tool