When you take a screenshot in-game it will show you where it's saved. The path is different based on OS, and you can check your user files path by going to Options > Mods > Show Mod Path. The folder is called Screenshots, instead of Mods that it will show you 
If you are using Vista, sometimes the print screen key doesn't work. If you re-bind it to something else you'll be able to take screenshots properly.
