A sheet is a dialog that drops down from a window, but is attached to that window. To take a screen shot of one, press Command-Shift-4, then press the space bar, which displays a small camera cursor that you use to select the window to shoot. If you want to take a screenshot of a sheet, press the Command key, and you can select only that sheet, and not the entire window behind it.
You can try this by going to the Finder and pressing Command-Shift-G, or choosing Go > Go to Folder; what displays is a sheet.
[kirkmc adds: I certainly didn't know this, and don't find it anywhere on the site.]

