DS;
you have the default path (assuming you actually installed your game to C;drive).
If you use Windows explorer and go into your main SH4 folder you'll see among other files a bunch of files such as the following;
SH4Img@2008-02-02_10.21.00_999.bmp
These .bmp files are your screenshots. Use a graphics program to open them or simply doubleclick on each file and it'll open in MSPaint.