By default it is set to just copy the image to your clipboard, similar to what PrintScreen does. Then you have to paste it into a Imaging Software; Paint, Photoshop, etc. There is the ability to have it save it as JPG or BMP, whether that feature works or not is unclear. As for testing I switched it to one of the formats, and pressed F11 and then proceeded to do a search for all *.jpg created today and nothing came up.
EDIT: Found it.. you have to have clicked on the image (model) then press F11, it then shows a path in the modelviewer;
