Like I said, the screenshots and options.ini are both saved to
%appdata%\MayhemIntergalactic.
I know that's not a real path, but it works anyway - enter it into a Windows Explorer address bar and you'll see.
%appdata% expands to the location of the Application Data folder; on Windows XP it's usually C:\Documents and Settings\[your user name]\Application Data, but it moves around on
every single new major version of Windows.
And it's a hidden folder, just to make it harder to find. Way to go Microsoft.