To find out the location of screenshots open a terminal window and type:
defaults read com.apple.screencapture location
this might return the following message
The domain/default pair of (com.apple.screencapture, location) does not exist
The screenshots should be in the Desktop folder.
If not they can also be located in the Dropbox screenshots folder if you have enabled this setting in Dropbox. You can turn this off and the screenshots will then be saved in the Desktop folder.