I have a couple of suggestions for you to try to see what works for you.
First, if you look at the Dock (the row of icons on the bottom), you can see a dot under open applications. In the screen shot you supplied, there is one under the Safari icon. If you click and hold down or right click on the icon, you should get a menu, and one option is to Show All Windows. It will show you all the windows for that application.
Also, if you click the Mission control icon (the third icon on your Dock), it will display your different windows. I think the F3 button activates this as well, and you can setup trackpad gestures to enable a gesture for this (Pinch your thumb and three fingers together to see all the apps on your Mac).
Since you are new to the Mac world, you might want to take a look at these links to get more comfortable:
I also found a link with some information on changing the location of where screenshots are saved:
I hope that helps, and I hope you love your MacBook Pro as much as I love mine!