I don't have this either. :T
You can try making a folder in Warcraft directory and name it "Screenshots". If this doesn't work, then you can always paste it (ctrl-v) in paint after pressing the screenshot button.
I'm on a page about incorrect corrections, and spent the better part of like two hours trying to get someone to understand that -5^2 = -25, not 25, and then that post had comments get reposted because that group is self sustaining, and that person was in turn trying to explain what I just explained to them. And I'm taking that as a victory