Believe it or not, this isn't a shameless plug for my own program. I can't program. I was simply searching for myself because my computer really dislikes alt-tabbing to save screenshots.
The program is called Main Screen. It's a freeware program available off of download.com (there's a link to it as well in this post). It allows every feature I've seen and wanted so far, including PNG, JPG, and BMP file saving to any directory of your choice with any naming convention you'd like. Best of all, it doesn't minimize your screen when you hit the Print Screen button (though you may notice a slight pause, I noticed that with just the old-fashioned Print Screen copying capability).
It's really a valuable tool for those of us who like to take screenshots by the busload, and for those of us who can't be bothered with Paint just to save a picture... and especially for those of use who fit for both. Some would say that there's a slight learning curve to it (we're used to that with GalCiv and all, no?), so if you need any help feel free to ask.