Screenshots are stored in the folder below. I recall some people also found that Vista didn't like taking screenshots with the printscreen key, and they had to rebind it in the game before the shots would be recorded, so if there's nothing in the folder, try that.

C:\Users\your username\AppData\Local\Ironclad Games\Sins of a Solar Empire\ScreenShot

Please note that some of these directories are hidden by default. To unhide them, go to Control Panel -> Folder Options -> View and set yourself to view hidden files and folders.