Trash mate...
F12 takes a .tga screen print and saves it to the afformentioned folder.
What you're doing is taking a windows screen print. Pressing the Prt Sc key saves the current screen to the clipboard that you can then paste into a paint program.
You can only have one saved at any time (it writes it to RAM not the hard disk).
If you want screen prints of the game itself press F12, if you need to take shots of the menus for any reason use Prt Sc once then go paste it into a paint program.
Hope I have helped you some.
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