Have you been pressing Print Screen to take screen-shots?
No matter what the screen-shots go to C:\Nexon\Combat Arms. If you are pressing Print Screen (AKA Prt Scrn), and nothing is showing up in the Combat Arms Folder then you have issues with your keyboard. To check if Print Screen is working, looking at your desktop, press print screen, go to Paint and go to Edit+Paste or press Ctrl+V, if nothing shows up your print screen button doesn't work. Unless you're using a laptop whick may require you to press FN+Prnt Scrn (I don't know if it does.. I don't use laptops often).