"Compatibility Files" are files that Win7 keeps separated for progs that are installed in compatibility mode. This has not come up for me as problem before, so make sure you followed the proper installation routine for Vista/7. You can find it in the Workbench or in the Community Discussion area.
Console will not work in Vista/7
At least as far as I am aware... hasn't worked for me yet.
As for screenshotting, the regular print screen button, with game installed on Win7, works as it should in my experience, sending ss's to the game's main directory. I don't use MSPaint, rather Paint.net or PS... it may be that MSpaint cannot open/read a .tga file?