You can also open up MS Word (almost guaranteed to be installed on a locked down corporate Windows machine), and paste the image into a blank document. For bonus points you can then right click the pasted image, and select 'Save As PNG'.
I don't fault them for this in the least because they did what they knew how to do to accomplish the task and the task was accomplished effectively, I was able to see their screen.
1) Printscreen 2) control + v on paint 3) control + s and type in image name