Go to this thread....
http://www.subsim.com/radioroom/show...ht=screenshots
If your running Vista, Run sh4 in admin mode, the screenshots will show up in your sh4 game directory then. If you aren't running in admin mode, the sh4.exe won't have rights to create files in it's directory, so they end up in some crazy virtual folder
There's a lot of other threads on this subject and others. Check out the search function for any info you are interested in. In this case, search "screenshots" There is a wealth of information available in these forums. BTW, welcome to the forums !