I downloaded RCT1 and 2 from GOG.com, and I simply don't see a screenshots file.

If you used "print screen", you are going to have to paste the image onto either a PowerPoint Presentation or Word document. Then save the image.

RCT1 and RCT2 don’t come with anything enabling in-game screenshots so Nathan is right in that you’ll either need to use “Print Screen” or use a third party screen capture application. As Nathan suggests you’ll need to save your screen print through the applications he's mentioned or an image editing application (MS Paint will do fine). Because RCT1 and RCT2 don’t come with a screenshot capability they also won't automatically create a screenshot image folder so you’ll need to create your own folder in which to place the images. If you use this method you’ll need to edit each image in MS Paint one at a time as you take each screenshot.

Depending on the third party screen capture application you choose you may be able to save several shots before needing to edit them, or the application might simply place the shot in a file of your choice so that you can edit later.