on my XP machine screens save to to C:\Documents and Settings\ ... \My Documents\EVE\capture\Screenshots
just tried it and verified it.
I am not sure if this location is editable in config
update: this is a little old, 2008, so it may or may not apply to Win7. but per CCP Tanis:
C:\Documents and Settings\MyUsername\My Documents\EVE\capture\Portraits
This location will only store high-resolution portaits that are captured. This means that you intentionally right-clicked a player and selected "get portrait". Just loading up the character portrait in-game will not populate this folder.
C:\Documents and Settings\MyUsername\My Documents\EVE\capture\Screenshots
This is where any screenshots you've taken in EVE should be stored. I have encountered instances where due to driver's, or OS issues the print screen key will not actually take the snapshot as it should. Unfortunately I don't have any solution for that aside from updating drivers.