It should automatically save to the Desktop folder. Do you have DropBox installed, it has a setting to intercept screen shots and send them elsewhere.
Otherwise, you have to use the Terminal to set the location:
defaults write com.apple.screencapture location /path/to/folder
For instance, if you want it to be your Documents folder, it would be:
defaults write com.apple.screencapture location ~/Documents
To return to the default of the Desktop folder, just delete the location property.
defaults delete com.apple.screencapture location