Hey @FunnyCharly!
I think Jpowwe was just using the default directory location on Windows. The file extension and two arrows in the top right show that it is not likely they’re showing it in Unreal. Changing that directory requires modifying the source of the Engine.
The default folder is YourProjectFolder\Saved\Screenshots\Windows\ Folder.
Hope this helps! 
@Jpowwe Did you ever get your original question solved? Let us know!