Programs that take a screen capture AND save it automatically?

When I want to take a screen capture, I do what anyone does by hitting Prt Scr. However, for me to actually save the screen, I need to open up Paint (or some other program like it), paste, and save. I am going to be doenting gameplay and I wanted to know if there is a program where, when I click the screenshot on, it could save it AUTOMATICALLY rather than me having to minimize the full screen window just to paste and save. I plan on doing frequent screen captures, so this feature is of utmost importance.