Taking a screenshot from within a running Oblivion game can be done in two ways:
The game uses two .ini files for configuration. One in the Oblivion game folder called "Oblivion_default.ini". The other is in My Documents\My Games\Oblivion\Oblivion.ini You should make a backup before making any changes to an .ini file. You may need to turn on the ability to view file extensions in Windows (some people have it off by default), in order to identify your .ini files.
There is a setting in both the first and second .ini files that allow you to press the Print Screen button (Prt Scrn) on your keyboard:
To enable the ability to take screen shots, change this line to:
Edit the line in both files, just to be sure. Then save. Pressing the Print Screen button on your keyboard (you may need to simultaneously press SHIFT on some keyboards) should now write a BMP screenshot file to your game folder.
A free Windows utility called FRAPS can be started before you load up Oblivion. This enables you to press F10 on your keyboard to take a screenshot. FRAPS can also capture in-game movies and display your FPS framerate. Screenshots are unaffected, but some features such as the movies are watermarked until the application is registered. The application is mature and reliable software, and is in wide use.