All ALT-S does is record the current frame buffer in the game. It will save the file in the installation folder of the game and use the naming convention of "ahss#.bmp" where the '#' is replaced with a number.
If you are not seeing those files in the installation directory and happen to be running Vista, then Vista has put the files in a user directory of its own making. Each directory is different for each user on every Vista computer.
If you want the game to be able to store its files in the installation folder, then you must run the game as admin. Right-click on the start-up ICON and select "Run as administrator". The game will then be able to place its files and folders in the proper place. This is for Vista users only.
Oh, if have been playing the game for a while and then suddenly decide to use the "Run as administrator" option, the game will act like a new install as it will search for its files in the place where they should be and not where Vista decided to put them for you.
This feature of Vista is inherent in all computers shipped from any OEM manufacturer that installs Vista for you and does not give you an installation software. The computer manufacturer is then the Admin for your computer and you are not. Without the Vista installation media, you cannot get to be the Admin for your computer.