Firstly, Auto-Save is found on the second page of the Settings dialog, the page entitled Image Settings. To invoke the Settings dialog, press either F9 from the Capture form or from the Viewer. Alternatively, select Settings from the tray menu.
Selecting AutoSave from the AutoSave,AutoPop, Do Nothing choices will turn Auto-Pop off. Any captured images will be saved to file as a result of setting this option. If Auto-Save is set then all the settings defined to to the left of this option, namely the AutoSave directory, Filename prefix, Incremental method, Sequence, Graphic type and Quality / Graphic depth will be required. It is these options that define how, where and what the file is saved as. If you do not understand how these options work, you need to go through the tutorial.
Any image you capture will now be available in the Viewer. The best way to see this is to open the viewer and open "My Computer", move to the "My computer" with the mouse and Press PrintScreen. You will see that an image was added to the Viewer as you pressed PrintScreen. Now click on that image and you will see that it was what you just captured.