Disable Google Picasa screenshots feature
When Google Picasa is running it will intercept any screenshots you take and automatically save them in C:\Users\<username>\Pictures\Picasa\Screen Captures folder.
There doesn't seem to be any UI setting that would disable this often unwanted feature. Luckily there is a workaround. All you need to do is remove access to this folder from all users and groups (even yourself). Once this is done, Picasa won't have access to this folder and will not save any screenshots anymore.