Saved games are stored in the user 'my documents' folder allowing each user login on the PC their own saves.
The saved games for Oblivion can be found in the following folder :
Documents and Settings\*username*\My Documents\My Games\Oblivion\Saved Games where *username* is the current user login name
Each saved game has its own file, which follows the naming convention as below:
"Saved Game Number" - "Character Name" - "Location" - "level of character" - "playing time".ess
to allow for easy identification