Hi goldendunner,
To add to what Garciliaso said, your R:TW screenshots are usually located in either "C:\Program Files\Activsion\Rome - Total War\tgas", should you have a standard version of R:TW, not Gold, or in "C:\Program Files\The Creative Assembly\Rome - Total War" should you posses the Gold edition.

If you installed R:TW into a custom directory, then you may, unfortunately, have to use the search function to locate the screenshot files.

Hope this helps, good luck, cheers!