Well, I *think* by default, the pictures will either end up in your Documents and Settings\(user account)\My Documents\My Pictures folder but don't quote me on that. Best thing to do would be to search using Windows Explorer for any picture files modified in the last day or so....you should find them.
There are ways to change where they go, or you can decide to leave them where they end up. You see my screenshot again....there a little icon further to the right of the one I circled and it looks like hammer. Click that.
On the tab that says "Player Setting" there should be an Advanced button near the bottom...click that. Then you should see a bunch of tabs and one says "Snapshot". You want to capture to file, and pick your location. That's all there is to it.
