Hmm, it's not saving to a file somewhere? Let's see... oh, you have to hit the little box thingy to the right of "OpenGL" on the Render menu; that will bring up the render options window and you can choose to render to a TGA file, which should be convertible to a BMP or JPG or whatever you want by something like IrfanView.
To get a better render than OpenGL provides, you might want to download Yafray at
www.yafray.org; Wings has pretty good support for Yafray rendering, and you get more options for the texturing, too, since it's a raytracer.