Usually people wanna keep pictures they take. If you don't want you'r picture to be saved, then don't click the button that'll take a screenshot and save your image. --edit-- Oops, I read "Why" instead of where. Well, they're save into the screensohts folder in Documents/BeamNG.Drive
if you use alt + p or ctrl + p, the screenshots will be saved to the following location: C:\Users\******\Documents\BeamNG.drive\screenshots
Press "Esc" Look at the menu on the left Click on the camera Now you are in photo mode. Move the camera with WASD and click on the camera to take a screenshot.