Or if you have Windows Vista,7 or 8(.1) and the game is installed into the default install location in Program Files then Windows probably denied the creation of the screenshot files in there. Because it doesn't allow files to be created or changed without administrator approval. This approval request was likely missed because the game was full screen, and subsequently denied.
The least problematic solution is to install the game else where. Though for Steam install cases this may not be so easily changed. For that it is said to remove the 'read only' option of the entire install folder. There should be a thread about this somewhere.
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