We found this free add-on for Internet Exploer the other day called IE7 Pro.
Among many other things it allows you to screen capture a web page that scrolls over multiple pages to a single image.
Well done to the developers at http://www.ie7pro.com/
EDIT: 29 April 2008: Please note, there is a known issue and workaround with this add-on. When dragging and dropping actions in the Nintex Workflow 2007 designer, a new tab is opened displaying only the icon of the action.
To get around this, you need to disable the ‘Super Drag and Drop’ and ‘Open New Tab in background’ options.