Win 7 and I think Vista have a snipping tool that do the same thing you describe, but there is no such built-in functionality in XP that I'm aware of. ALT + PRINT SCREEN will capture the entire application window to the clipboard, but then you'd have to paste it in paint or some other application, and you'd have to get rid of the window borders. You could also try a third party tool like SnagIt.
If none of the above are practical or desirable options, I'd say just keep doing it on the Mac side. No sense re-inventing the wheel if you've already got a method that works.
Thanks! I need something for one of our window's users to do the same thing, hence my question. I am looking at SnagIt, thanks for the tip!