On Topic: You should have actually accidentally tapped on to the Pin to Start button.
Off Topic: Those people saying "Power/Lock Button + Windows Key" to take a Screenshoot don't know sh*t.
That screenshot was taken from a WP7.5 (Mango) hence why SidMenon asked how He took the screenshot, since WP7.x doesn't have that feature.
He must have Developer Unlock or Root his phone and Installed a Homebrew App to take Screenshots. I know it, I did that with my Lumia 800. It was a pain in the *** to unlock it, but at least it was free (since I'm a student).
This must have been the App he used (guessing by the picture's name)
[XAP] Screen Capturer v3 - use Camera key to get screenshot - xda-developers
I had that app too on my Lumia 800 which recently died :(