Taking a screen shot including cursor

Hi,

I notice on Windows XP when I click Alt + PrintScrn to take a screen
shot, the position and type of cursor at the time disappears when I go
into Microsoft Paint and paste the resulting screen shot. Does anyone
know how I can take a screen shot and preserve where and what the
cursor is?

I don't have, nor am I proficient with PhotoShop and I would like to
include this screen shot in a word doc.

Thanks, - Dave

.

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