Well the default screenshot button in Steam is F12. Or you could use Print Screen on your keyboard.

With the former, go find the screenshot and set it to your desktop background. For the latter, after pressing printscreen, open paint or whatever art program, and paste (ctrl v) and you should see what print screen captured. Save as a PNG or whatever and then set that to your background.

Thanks, of course, but I wanted it without captions like 'find the server.' That's why I wanted to use a picture from the files. But my friend has already sent me that picture.