On the PC version of Skyrim (installed from Steam) how do you take a screenshot?

Pressing F12 does not seem to work.
Pressing "Print Screen" gives a message approximating:

"File saved ScreenshotX.bmp"

...however I cannot seem to locate this file on my local drive.

Can anyone help?

In the folder where you have the game installed that is where mine goes when i do it.

You can alt-tab into the Steam interface, right-click Skyrim in the list, and select "view screenshots" to bring up the screenshots manager at any time. It can tell you where the files are on disk, and you can also share them online on the steam community web site if you want.