OS is Vista/ 7 or XP?
EDIT:
XP:
C:\My Documents\My Games\Fallout3\Saves\(Live Username)
If without live, remove the Live Username part and it should be there.
Vista/7:
C:\Users\(username)\Documents\My Games\Fallout3\Saves\(live name)
If without live, remove the Live Username part and it should be there.