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To find out what folders Wireshark is stored in, simply choose Help from the main menu, then choose About Wireshark, and in the window that opens, choose the Folders tab. As you can see in the next screenshot, you will see the actual folders that files are stored in, and on the right you can see typical files that are stored in these folders:

Clicking on a location will bring us to the folder in which those files are stored.