For some reason the power button + volume down does not take a screen shot, but power button + home does allow a screen shot to be taken.
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Power button + volume down does work it is just tricky. You have to press them at the same time or it won't work. Takes a little practice but once you get the hang of it, it becomes pretty easy. This way also saves the screen captures in a separate folder called screenshots so they are easier to find later.
take note to do the power button + vol down you have to hold it for 2 seconds, but the power + home is instant, i do perfer the power + vol down, looks cooler and shows up in the notification bar for quick viewing, and also what icenija said about being in a different folder
I was following what everybody else said but it also wasn't working for me. I found the last comment rude so I went to another website and got the correct answer; press the power button down and hold. Right after, press the home button while you are still holding down the power button. Good Luck!