The path of the image should be displayed when you snap a screenshot. If you didn't see it, you're likely running Vista and have the misc glitch that the default Print Screen key doesn't work - in that case, re-map the screenshot key to something else and it will take the screenshots.

But to answer your question, they get saved in the user path (where the mods go). That's C:\Users\Youruser\AppData\Local\Ironclad Games\Sins of a Solar Empire\Screenshot for Visra, and the same thing only C:\Documents and Settings.... for XP.