Boy, this is strange!
I just captured several images successively with Screenshot Captor > named them > hit Save > Win Explorer window came up showing the directory the image is stored in
Then I went to write this forum topic and did another capture just to confirm about the WinExplorer window . . . and after hitting Save WinExplorer didn't come up
What setting can I make in Preferences so that the WinExplorer window never appears?