Underneath your test case you should see the ‘Preview environments’ selector. By default “Local (Display 1)” should be selected. This is your local primary screen.
When you press “Capture new image” with “Local (Display 1)” selected as the environment, your Leapwork Studio should be minimized and the system will switch to capture mode.
Use the selector tool to capture the image you want — simply hold down the left mouse button and drag across the screen — and it will appear in your building block.