When you run the game directly from the ZIP archive, your archive tool will extract the "powder" executable into a temporary folder. When The Powder Toy creates animation frames or screenshots, it stores the files in the same folder as the executable - in the temporary folder in this case. The temporary folder is randomised by WinRAR so you won't be able to find it easily, a full computer search for files called "powder.exe" or "*.ppm" might yield results but the best solution is definitely to extract the ZIP archive before playing.