Actully that was my first guess as well. But alas, there is no screenshot folder in there. Just a Saves folder. I checked the Saves folder as well and it's not in there either.

As I understand it, it should save the screenshots to your game folder. If you have a Vista or Windows 7 computer and you installed Oblivion to your Program Files folder it might be in your Virtual Store. Note that if you have anti-aliasing turned on then the in game screenshots will not work (I think they come out as a solid black picture. (At least that is what happened with Rome Total War). You will have to use something like FRAPS instead then. Which is what I use for screenshots for all my games.