Hi Alonzo_00,
Thanks for reaching out to Microsoft Community and posting your inquiry.
The option for automatically save screenshot is only available for the OneDrive app. The OneDrive app is Microsoft cloud storage service that lets you store your personal files in one place.
Please check the steps below to turn on the automatic saved of the screenshot on your OneDrive:
1. Right click or press and hold on the OneDrive icon in the taskbar notification area, click/tap on the menu (3 dots) button, and click/tap on Settings.
2. Click/tap on the Backup tab, and check (on) or uncheck (off - default) the Automatically save screenshots I capture to OneDrive box for what you want, and click/tap on OK.
To view the screenshot photo, go to your documents folder > look for OneDrive Folder > Pictures > look for the screenshot.
If this answers your question, we highly encourage you to inform our Community by clicking on Yes or marking my post as an answer. This will help other members who may have the same issue as you. Otherwise, don't hesitate to update us so we can further assist you.
Kind regards,
John Neil_J