When you do a screen shot and select option MS Paint – the picture opens in the MS Paint. You can select your individual path to save the file when you click save as, but what happens when you simply close paint or press save?
I found that the all pictures are getting saved in the TEMP foder:
C:\Users\sq8bg\AppData\Local\Temp (sq8bg is my username)
The other option is to press WinKey + R and type %temp% (enter)