In general, a screenshot constitutes a derivative work. As such, while the creator of the screenshot may indeed have a copyright claim on it, whoever owns the copyright to the underlying work also retains their copyright to the parts of it used in the screenshot, and the permission of both of these copyright holders (in this case, TechTalkz and Microsoft) is required for distributing the derivative work.
However, there are a couple of major exceptions to that. For example, using a screenshot of a computer program to illustrate an article about said program is likely to count as fair use, meaning that TechTalkz doesn't need to ask Microsoft for permission to use the screenshot. (Similarly, your use of TechTalkz's screenshot in your question above could also at least be argued to be fair use, since you're specifically quoting the screenshot to in order discuss it in a critical context.)
Also, at least under U.S. copyright law, mere "slavish copying" does not create a new copyright: a slavish copy is just a copy, not a derivative work. A commonly cited piece of case law on this is Bridgeman v. Corel, where the court ruled that digitized photographic reproductions of old paintings were not protected by copyright, since the photographs did not involve any original creativity (and since any copyright to the original paintings had long since expired). Some other countries do allow copyright to be based on "sweat of the brow", but even then, the effort needed to claim such copyright is almost certainly more than just pressing PrtScr.
That said, the screenshot you quoted does have at least one original feature not present in the program interface it's based on: the TechTalkz copyright notice. I rather doubt that merely slapping a copyright notice on an otherwise uncopyrightable work could be enough to make it eligible for copyright (given that the notice itself is surely too simple for copyright), but one has to admit that there would be a certain amount of irony if it did. In any case, though, simply editing out the copyright notice should be enough to circumvent any copyright claimed merely due to its presence.