I can start with the first question. Your screenshots should be in C:\Users\YOURUSERNAME\Documents\Paradox Interactive\Crusader Kings II if you installed the game in the default location.
The second part is trickier. You get a memory fail, but I'm not sure what memory it is. Do you take a lot of screenshots when this happens?
The second part is trickier. You get a memory fail, but I'm not sure what memory it is. Do you take a lot of screenshots when this happens?