Screencapping questions

Hello =)I am totally new at screencapping, let me tell you. I downloaded Media Player Classic, because I had been looking for which free program I should get, and this one appeared the best. SO, I've clicked and read every flipping memory under screencapping section and none of them have helped. So far I have watched the movie and I THOUGHT I had taken screencaps. I had changed the hot keys so I was positive I was getting something, and I'm postivie that part was right. Before I started, I had made a new folder under 'My Documents' and after the movie I went to find it and it mysteriously dissappeared. Let's pretend that I DO find that folder, what comes next? I don't even know what to look for, when LOOKING for this folder. I'm just so lost. Is the folder supposed to be a zip file? ANY help would be appreciated. I can't find tutorials [like a straight foward one] ANYWHERE. So yes, I could use any help offered, even if I do have to re watch and re do everything.

♥ Shauna