I press the Capture Frame button...It says it saves to file. What file?? I have no idea where these pics are, and I can't search for them because I don't know what names they were given.

The first one was saved to the clipboard. Where is the clipboard??

All Power DVD captures are capped with a default "PDVD" file name.
I hope that helps.

There should be an option to change where you want them to be saved to, as well as how big you want the screenshots to be when you capture them (damn handy!). You have to fish around for this in the options menu... I'm not on a computer with Power DVD on it at the moment, so you are going to have to find it yourself.