i looked for a VO directory but couldnt find one

where is it?

They are saved into the VO application bundle itself (most likely in your /Applications folder). Use Show Contents from the Finder to view.

I cant find it, so is there a way to create another one or change the save location?

How can you run the program if you can't find it?

Find your Vendetta Application,
right-click (ctrl-click) on the icon,
select 'Show Package Contents' from the pop-up menu

This will open up a new finder window which should contain your screen caps among other things. If they are not there then uh, well maybe you didn't really take any, try again.

Haha thanks hoax I've found them!

Hmm. I tried to take some. There are none to be found within the Vendetta package. I'll try again tonight.

The game should store the screenshots in the user's home folder, and all user data such as configuration information. Could be in ~/Application Support/Vendetta Online.