I use FRAPS, so I don't know for sure about this.
Just had a look over on Simouthouse
http://www.sim-outhouse.com/
Seems they're saved to:
Use CFS3's built in screenshot! CTRL + ;
saves to \my documents\cfsww1 blahblah
Although I'm guessing yours would go to \my documents\cfs3
Hope this helps matey