It'll be where it always is, the game automatically recreates it when it disappears. If it truly does not exist, then copy Oblivion_default.ini from the Oblivion game directory into the Documents\My Games\Oblivion\ directory, and rename it so that "_default" is removed from the filename.
If the game plays fine you have an Oblivion.ini, so you'll probably checking in the wrong folder. Unless you deleted the Oblivion_default.ini, perhaps. But that should never be deleted.