This opens the modern Snipping Tool . By default, these go to the Clipboard, but you will see a popup notification that allows you to save the file manually to a location of your choice.
On Windows, where a screenshot goes depends on the specific keys you used:
Use Snipping Tool to capture screenshots - Microsoft Support
The answer depends entirely on your operating system (Windows vs. Mac) and, surprisingly, the specific keyboard shortcuts you used. Here is a breakdown of where your print screens go and how to find them.