Hello Brian

you can't change the location, but you can create a link to c:\Screenshots so you find the images where you expect them.
Please see Microsoft Technet MKLINK

You can't change the image format - PNG has been chosen because it is lossless.

As you are naming the folder Screenshots, you may want to store screen shots there.

There's a trick to store JPEG screen shots images:
Configure a IP Camera to use http://localhost:8080/current99.jpg as image source.
That is the screens URL (if Screen Capture is enabled).

Now configure Local Save for this Camera to store images to c:\Screenshots, save on Web Access.
Everytime you access this camera with a browser (also from a remote computer), a screen shot will be stored in JPEG format.

Does that help?