F12 Screen grab?

So far I have worked out most things ..... but, where do game screenshots go? after clicking "F12" I'm confused ???

Using which application to create the screengrab?

Sounds like Steam? As Steam screenshot is set to F12.
Go to Steam Settings -> In-Game and set the screenshot folder you want.

Oh boy, do I feel stupid, of course it's in steam guess i had a brain fault!!