I am assuming you are using Windows? I use Greenshot. I also assume you are interested in the torn edge effect? Once you take a screenshot with Greenshot, you can open it in the built-in image editor. The torn edge effect can be found under Effects.
The torn edge settings dialog allows you to control shadow, tooth size and on which side(s) you want to apply the tears.
Another reason I like Greenshot is I can upload a screenshot to of several sharing sites, directly from the interface.
BTW, the tears in the specific screenshot you are referring to, was made in an image editing program.