What steps did you take to "capture" from it? I didn't think VMS had the Import from Camcorder Disc tool, though I could be wrong. If it does, and that's what you used, the tool asked you where to save the files ("Destination") when you invoked it.
Also, if you're looking for the file in VMS's Explorer window, it might not show MPEG files by default if they're not officially supported in your version. Right-click in the Explorer window and select View > All Files.
(Some or all of this might not apply -- I don't have VMS, so I'm not 100% how like Vegas Pro it is. For best results, you may want to ask questions on the VMS forum.)