You used CTRL-F11 to take the screenshots? You checked your SH3 directory?

You can also try doing a find in Windows. Search for SH3Img*. You're looking for files with bitmap extention (.bmp).

I use infranview. Open your viewer to the options page and there should be a section that allows you to send the screenshot to a particular place. I send mine to a desktop folder named sh3. Hope that helps.

Just a side note. If you do not set up your viewer to send the shot to a particular place, you could be looking for your pics for a long time. Microsoft says the screenshots go into your pictures folder but I have been burned. It is not always true.