Use File → Create → From Clipboard to create a new image from the clipboard; alternatively, you can use Edit → Past as → New image. Many applications support copying an image to the clipboard that can then be pasted into GIMP. Many operating systems support copying screens to the clipboard. Print Screen typically copies the screen to the clipboard, and ALT+Print Screen copies only the active window. Print screen is not universally supported, and just because your operating system can copy an image to the clipboard, does not mean that GIMP can use the image from the clipboard. Your best bet is to try it and see if it works.