Yeah that's where they are supposed to go but they don't save there (or anywhere I can find) on W7 if you don't run as admin.
If you're running Windows 7 or Vista and you cant find them where they are supposed to be try doing the following:
1. Click "Start" and open My Computer
2. In the upper right of the wondowpane you should have a search dialogue box
3 Type in *.bmp and hit enter, this will search your entire drive for any and all .bmp files
