[hughvane]

Screen shots are saved - by default - as files on the desktop. If you want to put the screen shot in the Clipboard, rather than create a file, hold down the Control key when you press the other keys. You can then paste the picture into a document and save it to a folder. I find it vaguely annoying to have screenshots named as just Picture 1 and sequential. We can make our gripes known to Apple I guess.

You can also take pictures of the screen using the Grab application (in the Utilities folder). There's nothing in Prefs to enable sending a pic to a folder though.

Edit: an amendment to the use of Grab. If you use it (instead of Cmd-Shift-4), you can Save As the screenshot that Grab has taken, to a folder of your choosing.