Forgive me if I post this in the wrong place this is only my second time on the forum. But I have a couple Oblivion questions.

1. On Oblivion for the PC how do you take screen shots?
2. While I was playing Oblivion on my 360 I had almost finished everything in the game when heading to Laywiin (spelling?) I found a Countess dead on the road! WTF??? Also in Chorrol the dogs that follow that one lady around were killed...and I didn't do it!!

You change the bAllowScreenShot=0 to BAllowScreenShot=1 in the Oblivion file that is in the same folder as your saved games. Do not change the settings in C:\...\Bethesda Softworks\Oblivion\Oblivion_default!
This change will allow you to take a screen shot by pressing the print button. I think you also need to have Anti-Aliasing turned off? The individual screen shots will show up as bmp files inside your Oblivion\Data folder. You can use the console command tm to turn the health bar,compass,etc.. on and off for taking the shots.
I play on a PC, I have no idea what would kill the dogs? I do not know if the Countess is considered essential through the entire game.

The countess is no longer marked essential after a certain stage in the thieves guild. She also take trips, I think maybe once a month, outside of the City. On these trips she can be attacked, and if you are past that point in the thieves guild, she can be killed. As for the dogs, I don't know if that lady ever leaves Chorrol, but if she does its likely that she took her dogs and they were killed. It is possible that while you were in Chorrol you brought an enemy that was stalking you with you, and eventually the enemy encountered her and her dogs and they fought (this could be a stretch).
Main quest semi-spoiler

Her http://www.uesp.net/wiki/Oblivion:Rena_Bruiant on the uesp says that occasionally she is attacked by her husband, which could have caused the death of the dogs.