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There should be a Screenshots folder inside your Europa Universalis folder.

If you've got Windows 7 64-bit and you have EU3 in the Program Files (x86) folder, you may need to click on "Show Compatibility Files" to see them.
 
I always read that when you change country tags, eg Castille => Spain, you should save and reload immediately, because of impending problems. But what if the AI changes country tags? Should I also reload? Or does the AI not suffer from those problems? And what are those problems anyway? :)

Also, is military maintenance affected by Serfdom, Aristocracy etc? Or do they only affect recruiting costs?
 
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I always read that when you change country tags, eg Castille => Spain, you should save and reload immediately, because of impending problems. But what if the AI changes country tags? Should I also reload? Or does the AI not suffer from those problems? And what are those problems anyway? :)
Yes, you should reload after you notice an AI doing a tag-change as well. You might not notice the issues as easily when the AI does it but some of them will still happen. I don't know if anyone has actually listed the various problems; it's just something that comes up frequently when someone reports a bug.
Also, is military maintenance affected by Serfdom, Aristocracy etc? Or do they only affect recruiting costs?
Anything that affects recruiting cost directly affects maintenance cost as well (may not apply to mercenaries though).
 
By the way, what more do you need to release a vassal besides matching culture? I went to war with the Ottomans hoping to conquer some Yemeni provinces to then release a Catholic Yemen but I'm not allowed to.
Are you at peace? Do they have cores on bedouin_arabic provinces you own?