HYPERSNAP DX
Introduction
Hypersnap DX is probably the easiest screenshot program to use. You can get temporary licences to disable the "Captured by Hypersnap DX" label which is added to all saved images. It does have a feature to capture several frames, in order to make an animated file with - but apparently it idoesn't work well.
Downloading
It is obtainable from http://www.hyperionics.com/. There are many versions available, and it is important you download the one that suits your processor - they have different versions for Intel chips/Alpha chips. They range from the basic version being about 500K download, to the full trial version of 1.1 meg download.
Installing
Installing is easy: just double click on the downloaded setup EXE file, and follow the promts. 

After you have installed Hypersnap DX, you may wish to go to http://www.hyperionics.com/FreeLic/HyperSnap.htm to get a free temporary licence, to disable the label put on all saved screenshots. You are required to put in your Email address to get the licence sent to you though - so if you don't want possible junk mail, don't bother. (You can run it without registering it temporarily, just may cause hassles). The licence lasts a week.

Running
The first step when using Hypersnap DX is to make sure that you "Enable Special Capture". 

Make sure this is ticked, or you won't be able to get clear screen-dumps from within Worms2 or Worms: Armageddon. 

You may also like to click the "Quick Save" feature - this should allow captures of more than one image in a game. (NB. While setting up the options in the "Quick Save" section, you should change the file name to have a .GIF extension - BMPs don't easily convert to a .GIF to allow transparency, and the colours are usually ruined in the conversion)

Taking a screenshot
Now you can run Worms2 or Worms: Armageddon. You just leave Hypersnap DX running in the background - closing the prgram won't make it capture. Its as simple as when you want a screenshot, hit the SCROLL LOCK key (unless you configured it to be something different). If you have "Quick Save" enabled, then more presses of the SCROLL LOCK key will result in more screenshots being captured. If not, eack new press of SCROLL LOCK will result in the old image being replaced by the new one.
Completing the process
When you have finished the game of Worms, you need to save the file(s) you have captured. Simply closing the program will result in losing all images. 

NB. Unless you have a license of some sort, DO NOT edit the image within Hypersnap DX. Cropping the image within Hypersnap DX, and then saving it, means that the label will go into the cropped image. Better to save the full screen shot, and edit it with another program like Paint Shop Pro 5 - THEN crop the image, and getting rid of the label.