I'm not sure about Excel 2003, but the (non-intuitive) Excel 2007 approach described above works fine. The image is copied into the Clipboard and can be pasted from there.
Just a thought: Alternatively, if you used (say) ScreenShotCaptor (SSC), then the image is captured into SSC's working buffer and saved as a file. However, I think SSC does not get the image copied into the Clipboard. So, to get the image into the Clipboard, you have to select the image (or a part of it) captured in SSC, copy it and then you can paste it from the Clipboard.