It is in one of the subfolders inside the steam folder. The fastest way to find it is this: 1.- Open Steam. 2.- In the top menu, go to View -> Screenshots. 3.- Select a TSW picture, then click the "Show on disk" button at the bottom.
Those are the Steam screenshots. The in-game screenshots go to C:\Users\YOUR_USERNAME\Documents\My Games\TS2Prototype\Saved\Screenshots\WindowsNoEditor Replace YOUR_USERNAME with your windows username in your system.
You can find this information and a lot more in the TSW Starters Guide. Download it here: https://www.hollandhiking.nl/trainsimulator Guide for TSW2 is in preparation.