:blink: I can't find the "Screenshots 101" thread these forums had once upon a time.
Go to My Documents\My Games\Oblivion, open up Oblivion.ini, find bAllowScreenShot=0 and change it to 1.
That's basically it. Just don't forget to disable your anti-aliasing in the game (under Options>Video, I think). If AA is enable, screenshots are automatically disabled, even if enabled through the .ini file.
Sorry, off track there. Had to get it out :whistling:
Maybe they'll take more notice if you put that in one of the Skyrim forums?

Edit: where the pictures are stored may depend on which operating system you have (Windows). Regarding AA, you can still enable it through your graphics' card control panel, but it has to be disable in the Oblivion game itself for screenshots to work.