My screenshots are not being saved to my desktop. Help.

Whenever I hit Cmd+Shift+4 (or Cmd+Shift+3) it lets me select an area to screenshot, and even triggers the sound, but nothing appears on my desktop. Not even a single file in any other folder. Nothing, nowhere.

I have also tried looking for the file by the name, by searching on the most recent of all my files, and nothing comes up. Yes, I did reboot the system too.

If I copy the screenshot (Cmd+Shift+Ctrl+4 or 3), it does work, and I can paste it whenever I want to. But it's annoying to go through the process to save it as a file, since I have to use Photoshop, or similar software.

Can anyone help me, please?