It doesn't go to Picasa, it goes to your hard disk. Picasa is just a way of cataloguing your pictures. But in any case, Picasa offer an email option:
Click on the image in Picasa.
At the bottom of the screen you will see an email icon. This only seesm to work for GMail or Outlook (at least on my set up).
If that's no good to you, you can right-click the image, and choose Locate on Disk. This will open Windows Explorer and highlight the actual file on your disk.
If you use a local e-mail client (such as Outlook, Outlook Express or Thunderbird) you can right-click the file, and choose Send To/Email Recipient.
Another method (which is useful if you use web mail):
Write-click the image in Picasa and choose Copy full path.
Create an e-mail, indicate that you want to attach a file (how you do this varies according to which webmail you are using)
When it asks you for the file, paste the location that you copied.