OS X :: Selecting Other Options In A Dialog Box?

Of all the things I've learned to do on a Mac over the years, and with all the help I've provided here at MR, I still don't know how to do the following:

On a rolled out dialog box like the one shown below, how does one go about selecting something other than the highlighted button (in this case Save...) using the keyboard?

I think Escape usually works to select Cancel, but how would I select Don't Save using the keyboard? Why can't I simply Tab over to it and hit the space bar or Enter?

While we're at it, I'm familiar with taking a screenshot of an entire window (CMD+SHIFT+4 followed by Space) but that doesn't seem to work to take a screenshot of a window + the dialog box, other than the sloppy way I just did?