Pressing 'Alt + S' will simple 'copy' the image to your clipboard.
Like 'ctrl + c' for text in windows.
You need to press ctrl + v in a photo-editing program to paste the image you 'Alt + S'd
In my opinion.... don't even bother with 'Alt+S' in-game screenshots are not as good as film screenies.
Just use Alt+R to record your film, go into the film viewer.... pause at the point you want to capture, adjust the camera angle as desired and then hit 'Full Screen View' or whatever the button is.... and press 'PrtScn' this will copy what is on your screen to your clipboard.... then you paste it into paint or PhotoShop.... crop, resize and you're done.
That way you can pause the action right at the very second you want.
Eg: mid explosion

Or just at the right moment as to see the rockets in flight:

Best way to get best results
