You can set folder to save captured images under
(rightclick >) Options > Preferences > General (>[General settings])
in the southeast quarter of the window.
Maybe check the installation folder (usually C:\Program Files\Webteh\BSplayer(Pro)\) for the pictures you just saved (may also depend on options chosen by you at installation).
Otherwise use Window's search option and search for filename(s) starting with bscap (=defaultname).