What some of you may not know is that you can also play Internet radio and podcasts in VLC. You can play audio files with VLC Media Player out of the box.
On Windows, that is the My Pictures folder on most systems. If nothing is specified there, it will be saved to the default pictures directory. The snapshots are saved to the directory that is specified in the preferences under Video. The snapshot is shown as a small thumbnail for a second or two after you hit that button. To do so right-click the video and select Video > Take Snapshot from the context menu. If you want to create a quick screenshot of a video, you can do so right from within VLC Media Player. The Open Recent Media option in the menu won't be there anymore. Note that the change requires a restart of VLC before it takes effect.
That's useful if you want to play a video or audio file again, not so much if you are privacy-conscious and prefer to keep past audio and video plays private. VLC maintains a history of recently watched items which can be accessed under Media > Open Recent Media in the player interface.