I haven't seen any place to modify the screenshot directory but as a work-around, you could create a symbolic link in your 'My Documents' to a folder on another drive. Move the 'Battleground Europe' folder to, say, 'D:\Battleground Europe'
Run cmd prompt as administrator and do the following commands:
mklink /d "Battleground Europe" "D:\Battleground Europe"
I'm on WIndows 7, so the location of your 'My Documents' may be different to 'C:\Users\pfmosquito\Documents'