If you press only the key (or Alt + PrtScn to capture just your active window), your screenshot is not saved as a file . Instead, it goes into your system Clipboard .
C:\Users\[YourUsername]\OneDrive\Pictures\Screenshots Alternative Windows Tool Locations
If you want all your Win + PrtScn screenshots to go somewhere else (like a dedicated folder on a second drive):
You can also press to open your Windows Clipboard History to find previously captured images. The Screenshots Folder (Win + PrtScn)