Open DOSBox.conf and see, under the [captures] heading, what folder is specified in the "captures=..." line. The screenshots created when pressing Ctrl+F5 should be there.
Also, what version of Windows are you using, and what kind of user account are you running DOSBox from? Where did you install DOSBox, was it in the default folder? When you try to take screenshots, what does the console say? (The console is the second window that DOSBox normally shows, visible if you don't use the main one in full screen.)
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