What's the best way to include graphics in an enumerated list?

I'd use a minipage:

\documentclass{article}
\usepackage[demo]{graphicx}
\usepackage{adjustbox}
\begin{document}
\begin{enumerate}
    \item Navigate to ``\texttt{d:\textbackslash boringwindowspath}''
    \item Run \texttt{Setupee.exe}
    \item \begin{minipage}[t]{\linewidth}
          \raggedright
          \adjustbox{valign=t}{%
            \includegraphics[width=.8\linewidth]{./Images/screenshot01.png}%
          }

          \medskip
          Click ``Yes'' to install MS Visual C++ 2008 redistributables.
    \end{minipage}
\end{enumerate}
\end{document}

Here is a minimal example to show one way to do this. Using the caption package allows you to attach captions to non-floating environments. You can also use the capt-of package for equivalent results.

\documentclass{article}
\usepackage{caption}
\usepackage[demo]{graphicx}

\begin{document}

\begin{itemize}
    \item hello
    \item \parbox{\linewidth}{\centering
        \includegraphics[width=2in, height=1in]{}\\
        \captionof{figure}{Some caption stuff.}
    }
    \item goodbye
\end{itemize}

\end{document}

However, from your image it seems that you're not interested in labelling your captions. If this is the case, then you must use the caption package rather than capt-of, as caption provides the \captionof* command, which removes the label.