Yeah, was never the issue, the install has been outside of that directory from the very beginning. The file is installed in C:\Users\Azoroth\Favourites, which is where I had it installed previously with no issues until around 39hrs of gameplay with this save issue.
You do realise this issue might be caused because C:\Users\"Your Name"\Favorites\Oblivion means your saves are probably getting lost because Oblivion the game is installed in the same place as where your saves are supposed to go?
I am assuming your Favorites is the same folder location as Documents on a Vista OS, for example-
Oblivion on my PC
My Game is in>C:\Games\Oblivion
My Saves are in>C:\Users\"My Name"\Douments\My Games\Oblivion\Saves
On your PC is it
C:\Users\"Your Name"\Favorites\Oblivion for your game?
C:\Users\"Your Name"\Favorites\My Games\Oblivion\Saves for your saves?