If you don't want to tinker with the registry and settings, we've created these registry files to add the sound option, or automatically add the sound Notify.wav when you press the Print Screen button.
Download 'Add Sound When You Press Print Screen' and extract the two files.
Double-click one of the two registry files: Print Screen Sound - Notify Wav.reg - When you press Print Screen, the notify.wav will automatically play. Print Screen Sound - Pick a Sound.reg - Adds the SnapShot sound to Windows Sounds, and you need to select a sound (see below for instructions if needed).
Click Yes when prompted by User Account Control. Click Yes when prompted by Registry Editor.