Screenshot key not working for a game, so i was told to use F12. I need little more help on using the f12 key?

Every time i take a screenshot with the (Prt Scr/SysRq) key then paste it on paint i get a gray screen. I've seen screenshots of this game be4. 2 days ago someone told me to use the F12 key. When i click it white letters show in middle of the screen saying it took something. But after i do it i cant find them any where on my computer.