Is there a way to change the directory your screen shots are placed?

I don't think so. You can change the path in MGE (or at least MGE XE).

I use http://www.fraps.com/ for screenshots in all my games. Not only does it allow you to choose your output folder, but it works with Anti-Aliasing turned on. The built in screen capturing in many games just give you a black picture with it turned on. Not Fraps. Plus it does other things, like video recording, showing frames per second if you are so inclined, taking benchmarks, etc...

Thanks for the tip the normal way didn't work and Fraps does.