Depending on your keyboard's layout (which can differ for different regions) it should be to the right of the F12 key on your keyboard.
The Print Screen button is a physical button on the keyboard - it has nothing to do with the application. Is it possible you've changed it from F12? If you wish to take a screenshot with steam you'll have to use the steam overlay and hit whatever key you have steam setup to use for screenshots. That is where it saves mine, anyway, as JPG files. If you take the screenshot with the game's built-in screenshot key (defualt F9) it should save the screenshot in your game's directory folder.
Its possible that you're looking in the wrong place for the screenshots.
