I push Print Screen. I get a message at the top of the screen: ScreenShot#.bmp has been taken. But I can never find it. I have searched as best I could. There is no screenshot file that I can find, not in any data folder. There is nothing on the clipboard. Typing screenshot or .bmp into Search produces nothing. Where could they be? It seems either that the message on the screen is a lie or that my computer is hiding these things in a very obscure place. Any ideas?

I'm using Vista. UAC is turned off.

Why just dont use the program Fraps. Its much easy way to make Screenshots : )

They are located in the folder where you installed the game.

Unless you installed the game in C:\Program Files\Bethesda Softworks\Oblivion as Vista/7/8 will then place them in C:\User\[username]\Appdata\Bethesda Softworks\Oblivion instead (or something similiar).

Vista/7/8 do not like software in C:\Program Files and it's generally better to install it someplace else, especially games, like C:\Games\Oblivion or whatever.