You have to do it in edit mode. Select all the faces to receive the new material. Press F9 for the Editing Buttons. In the Link and Materials tab under the Material cluster click ‘New’ then ‘Assign’. Press F5 for the shading buttons and click the little ‘2’ (or whatever the number is, it won’t be 1) between the material name and the ‘X’ button --> Make Single User.
You can switch between materials with the spin box that says something like “1 Mat 2” in it (your mesh should now have Mat 1 and Mat 2 --two distinct materials.
See also http://download.blender.org/documentation/htmlI/ch10s07.html
Hope this helps.
P.S. If you press F3 you can save your render window directly to disk instead of having to go through a screen-capture.