Not sure if you're still wondering about this, but all of mine are on E:\SCREENSHOTS\(YOUR EMULATOR HERE)
It's been months since I originally set up the emulators on my XBox, so I couldn't tell you for sure if I changed the path myself or if this is the default path for screenshots, but I've since upgraded some of the emus and haven't had to change it, so I'm assuming that it is the default directory for screenshots. Either way, all you have to do is go into the options screen for the emu and select change directories and there will be an option for you to change the default directory if you don't like where it is pointing to already.
One thing to note is that when you save a screenshot, it will make a sub-folder in the designated screenshot emu folder that is named EXACTLY the same way you have named the rom. Conversely, if you download a bunch of screenshots, you will have to rename all of the pics to 001.png (or 0001.png, I can't remember how many zeros) and you will have to have each screenshot in a folder named EXACTLY the same as your rom or it won't recognize it.
Because I'm sure the way one person's roms are named is different than another person's, (though I do believe there is a program to name your XBox roms that I skipped) you will most likely have a lot of work ahead of you setting these up. There are probably work arounds that I don't know about, but I just skipped all of that BS and made my own screenshots for my roms. This also gave me a way to test that the roms were good as well (at least playable up to the title shot).
My recommendation, and somebody may disagree with me here, is to only download MAME screenshots, as the rom files are all named the same for everyone and point your MAME emu screenshot directory to wherever you choose to put them and then manually create your own screenshots for everything else. You won't have to do this for Surreal at least, beacuse they're already built in as Hargle pointed out.