This may sound silly, but have a look if there is a folder named 'Screenshot' or 'Screenshots' in your directory. If not, there's nowhere to save them, so create one manually.
If it is there, then there is clearly an issue.

That black is just weird on your picture.

Try instead of using the default screen capture hotkey for cossacks , the Print Screen button on your keyboard and then go to Paint and press CONTROL + V. See if you get a better image then.

Also, make sure the drivers for your video card are up to date and see if you have hardware accelaration on /off.

Regards

E.A.