Check the folder properties, is make sure it isn't set to read only.
It the folder Saves was set to read only, I have unchecked it. Loaded the game, and my most recent save, did a overwriting save, but again, the save is not registering. I will try to delete the configuration files within the My games/Oblivion folder with the Saves folder not set to read only and post my results.
Edit: Hmm, seems everytime I untick the "Read Only" box then click Apply, then open it back up via properites, Read only is checked again. Anyway I can fix this?
Edit2: After deleting the configuration files in My Games/Oblivion and loading the game, trying to save the game again, same problem, the save is not registering. Still having the issue of the Saves folder overriding my changes to Read Only even after applying as Administrator (Windows 7 64-bit)