There is no such thing as a Picasa folder for photos, it manages photos in the folders you tell it to. If you just let it use its defaults, it's probably using the My Pictures folder in Windows. To check where it looks for photos and the ability to change those defaults look in its Folder Manager. Click on
Tools at the top of Picasa and then
Folder Manager. In this image, you can see that I am not using the default My Pictures folder but a Photos folder on my E: drive.

A photo jpeg file can be attached to emails or embedded in them as has been mentioned above.
If they are attached, they go to the default location your email program uses when you click on download. In Gmail for example, that is controlled in its Settings under the Download section. Other email programs have similar settings.
If embedded, right clicking on a photo and then clicking on Save As gives you control of what folder they go to.
In either case, you must understand where the photos go to allow you to set Picasa Folder Manager settings appropriately.