The default screencap key (print screen) does also trigger a message in the game that tells you where it was saved. So, if you didn't see it, you got hit by the sometimes-bug in Vista that makes print screen not work. Re-bind your hotkey to something else, and it will start taking screenshots again.

Lokala instllningar? i though it was local settings or is Lokala instllningar local settings in some language?

I had problems finding screens shots to start with also. So I asked my lovely wife, who's far more advanced with computers than I, she informed me to click on "start" then on "paint" then click on the "edit" on the tool bar, then go down to paste and there will be your sceenshot.

NOTE; this is with Vistas, XP may be a bit different,I don't know.

Also if you haven't  used "paint" before its located in "accessories"

And yes your pressing the right button, you may need to push a "fn"function key also to activate the take screen shot option, depending on your key board set up.