If you go into Utilities (Utilities may be contained in Applications) then you will find the Screenshot app.
When open it you will see 'Options' and also the various types of screenshot you can take.
I don't have an exact answer for your problem but it might be that defining where it's saved or checking it's not set on a timer or something like that might solve the problem.
Otherwise the standard answer is to find the .plist file for the app not working properly, delete it and reboot the machine so it makes a new one. That sorts out a whole load of odd problems like this.
I suggest you do a search on .plist files for yourself so you are quite sure of what you are doing and it will help you to find it and also find the library (sounds like a murder mystery)