I'm using MMC on my AIW so it should be similar. It saves them to the MMC "stills gallery" by default and from there you can pick where to save them and what format to use. You can also setup the stills gallery to automatically save them to a folder in the stills gallery setup.
Basically, click the "camera" icon on the MMC control to take the screenshot, which brings the stills gallery up with a thumbnail of your screencap. You should see icons at the bottom edge of the stills gallery GUI with tools tips; save;wallpaper;setup; ect.