The way it works is simple. There are 2 sets of save files. If you are connected to live and save a game it is saved in username/documents/My Games/Fallout3/saves/<profilename>. BUT if you are not using live then when you save the files are just in username/documents/My Games/Fallout3/saves/. There are both live saves and non-live saves.
Wow, thank you SO much...I was having this exact same problem, and this method works like a charm.
Thanks sooo much, man.edit:
Sorry for bumping this thread, guys