Oblivion currently saves games under My Games/Oblivion.

My C: is getting full, so I am hoping to change this location to another drive. How do I go about doing this? A setting in the ini perhaps?

I dont believe that you can move the individual save folder, and still keep the game so its able to see them.

However, you can move your entire My Documents folder. I moved mine to my H drive to save some space. To do this:
Go to C:\Users\(your username)
Right click on the My Documents folder and choose properties
Move over to the "Location tab"
Choose your new location.

The OS should now move everything over and see the new location as the correct place for My Documents from now on.

You could just cut and paste all but the last few save files to a back-up location on a different drive. This helps to reduce the load on the game also.

Thanks for the tips folks. I am wondering why they decided to hardcode this save game location setting. I think there is an option in the ini file for the save game location, but I wonder if I can tweak it from there?