Mine is stored in D:\BlueIris\New (your video clips and snapshots may not be on D drive, of course).
When you take the snapshot, be sure to click on "done".
AFAIK, this was the default path from the get-go, I don't recall changing it, changed only the drive letter after I created new folders on the WD Purple (D: drive) for video clips, etc. and made the corresponding changes to BI's "Settings" => "Clips and Archiving"