I take a lot of screenshots, and so I use a third-party program called HyperSnap DX for it. HyperSnap is a little funky with Dungeon Lords since sometimes parts of the interface won't show up, but for most programs it works flawlessly.
It's official I'm an idiot... I've been pressing "Print Screen" for the past week thinking they were saved in a folder like most games I'm accustomed to.... So dumb.