Looking for software to create Step-By-Step Screenshot guides

I would use a tool like Snag-It to do the screen capture, then it has add-in stamps you can use, including ones that already have a circle with a number on it. Very easy to use.

The Windows 7 Problem Steps Recorder automatically takes screenshots at each important step, and saves the resulting images and annotations to a zipped MHT file.

10-4 looks like Greenshot will do what you want. Never used it myself, but the description matches. Found via osalt.com

http://greenshot.sourceforge.net/