Even the text "Saved screenshot at.." doesn't appear. This is with Entrenchment, haven't tried in vanilla.
If it's not even doing that, try rebinding the screenshot function to a different key in the options. Some people have found that Vista does not always work with prntscrn.
I went in there and there is not options to change in the Explorer folder. my system is Vista so is it different from XP?
Pretty sure it's similar, but I don't have a Vista machine handy to double check, sorry.