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Not necesarilly, although maybe there is a key named like that you can use ANY key to grab a snapshot. Take a peek to the Demo source, as it has an snapshot system integrated in it. Its key is the F9, for instance.
"There is nothing truly useless, it always serves as a bad example". Arthur A. Schmitt
You probably want KEY_PRINT. I don't know what the SNAPSHOT key does - according to MS documentation it is for "PRINT SCREEN key for Windows 3.0 and later", but my print screen key does just send PRINT and not SNAPSHOT events.
Hm, I can only test on linux right now, but maybe it's the same. It seem the key-down message is never received by the application - only the key-up. Not sure right now why that is the case and if it's avoidable. Usually it's not a good idea to use system-keys for application behaviour, so maybe just switch to another key.
Well, I guess we can't pass on messages which we don't get and we do not filter that message out. So it seems like the OS does already filter that message, not much we can do there.
Irrlicht does pass on the system messsages WM_KEYDOWN and WM_SYSKEYDOWN. VK_SNAPSHOT is not delivered with those. The alternative would be installing a key-hook. We might do that maybe (for other reasons) at some time. You are certainly free to use GetAsyncKeyState to find out the current state.