AutoCAD 2007 has a new rendering engine (based on 'mental ray'), which optionally outputs rendered images to a separate Render window. This window hosts a history of renderings of the current session, so that you can compare different settings.
AutoCAD stores the images as PNG files in this hidden folder: C:\Documents and Settings\(user name)\Local Settings\Temp. You can copy these files, which is probably easier than (1) using the Render window's File menu, (2) selecting Save, (3) entering a filename, (4) selecting the folder, (5) choosing the file format, and (6) then clicking OK.
PNG is a public format that uses lossless compression (short for "portable network graphics.") Upon exiting the drawing, AutoCAD erases the stored images.