Edit: It can occasionally be a key-mapping issue but this has been a problem with Steam for at least 12 months or longer now.

Ok... IF your issue is that you can't get ANY screenshots to work (ie, you're not getting the little camera-clicky noise when you try to use F12), try this:

In your Steam client settings, make sure you have the Steam overlay enabled.

Then close Steam and reopen using Run as Administrator (right-click on Steam, select Run as Admin - you might need to click on the "More" menu item to access it). You need to do this from the Windows Start menu, not from a desktop or tray icon.

This SHOULD then allow you to take screenshots. I occasionally need to do this as for some reason the screenshot function stops working.

(If you're not running Windows I can't really help you.)

If the issue is you don't know where your screenshots are going, head to the Library page for the game you're playing and you'll see any screenshots you've taken on your profile for that game. Then you can manage your shots from there. :)