What I typically do is open the New blank document in Photoshop and specify the dimensions I want, say 800 pixels wide and 700 high.
What you do to capture the "right stuff" depends on the OS you are using. If you have Windows Vista or Win7 you open the app you want to "snip" from and then you can open the "Snipping Tool" (just type that into the little command line from the Run button). Then you just draw a cropping rectangle around the area that you want captured, hit Enter, and a window opens with the crop and you Save it as a jpeg. Do this for the several captures you need. Then from Photoshop you can open each of those jpegs and either Move the captures onto the New doc or you can Copy and Paste them onto the doc (they each will land in their own layer). Once they "land" you can use the Move tool also to position them -- just click the layer for the appropriate "snip".
If you have XP or older you will need to capture at least the active window (press Alt-Prt Scn or if using a small laptop Fn-Alt-Prt Scn). Then you will go to Photoshop and do a New command -- Photoshop "knows" you have an image in the clipboard so it will open with the pixel dimensions for that. What you then will likely want to do is to select a rectangle out of that window image, so just pick the Rectangle Select tool, draw a selection that you want to post, then do a Copy and Paste into the New doc. Select the Move tool and again you can position each "snip" as before, so repeat the process as necessary.
Then it's just a matter of ensuring that they all fit properly on the new doc and that the doc is the proper size for how you are using it.