If you have a used Mac someone may have changed the save location otherwise it should be on the desktop.
Here is a list of ways to do screen captures.
Screen Capture:
* Command-Shift-3: Take a screenshot of the screen, and save it as a file on the desktop
* Command-Shift-4, then select an area: Take a screenshot of an area and save it as a file on the desktop
* Command-Shift-4, then space, then click a window: Take a screenshot of a window and save it as a file on the desktop
* Command-Control-Shift-3: Take a screenshot of the screen, and save it to the clipboard
* Command-Control-Shift-4, then select an area: Take a screenshot of an area and save it to the clipboard
* Command-Control-Shift-4, then space, then click a window: Take a screenshot of a window and save it to the clipboard
In Leopard, the following keys can be held down while selecting an area (via Command-Shift-4 or Command-Control-Shift-4):
* Space, to lock the size of the selected region and instead move it when the mouse moves
* Shift, to resize only one edge of the selected region
* Option, to resize the selected region with its center as the anchor point
ThinkerTool will allow you to change the screenshot image format from PNG to jpg or other formats and other locations beside the Desktop.
TinkerTool: Description