The pictures are stored as .bmp files. From the Help files:

If you have selected Capture to file, the usual default file designation for capturing frames is C:\My Documents\Cyberlink\PowerDVD\ Snapshot\PDVD_000.bmp depending on your operating system. You may elect to change the name. Select Browse... to select another folder. After finding a suitable folder, click OK.

Click the ? mark on the Power DVD console for more information.