It would be nice if we could allow the user to select a path where the screenshots he made are stored. Currently under Win Vista for example the screenshots would go to a "Virutal Storage" folder. That is since they are written to the cwd by default, which is by default with our Win installer: "C:\Program Files\" . Now Vista does not allow a user without admin rights to write to that folder, so it create a fake folder for write access.
Just for the logs: I got this request via mail, so before it's lost I created an item on our feature requests tracker.
"Virtual Storage" of course, as pointed out by DrMcCoy.