Saves are stored in My Games\Oblivion\Saves. Simply copy the file to some other location/device, and you can put it back in the same spot after whatever reinstall you are doing. (if you are wiping your harddrive, back it up to CD, or USB drive, or some drive that you are NOT going to wipe....)
You can take your saves to any other machine, operating system doesn't matter. What DOES matter is, the Load list. If you use mods, then, whatever other machine you want to take your save to should have the same load list as your save, else, you will have trouble. (same goes for DLC.....)