After I pressed F12 to take the screenshot, I looked into the BloodFrontier folder, but don't know where to look.
Where is the screenshot saved?

Linux: ~/.bloodfrontier
Windows: [My] Documents\My Games\Blood Frontier\
Mac: /Users/[name]/Application Support/

...and how might we change it on windows for screenshots to go in the Blood Frontier folder. Most people seem to absolutely HATE when things end up in "My Documents" and I am one of those people.

http://sourceforge.net/apps/mediawiki/bloodfrontier/index.php?title=Running_the_game#Client
See -h at that page.

I hate it more when people come to me asking why their files don't end up in the Blood Frontier folder on Vista/Win7, then proceeding to suck away an hour (or more) of my life begging for me to teach them how to locate hidden files buried deep in the 'virtualstore'. So yeah, blame Microsoft.

To get the old method back, use the "-hhome" command line option.

BTW i think that only happens if you have UAC on, or you are a standard user. i am admin and have UAC off on vista sp2 and i don't got that virtual store folder. i hope this helps yall.