I had a heck of a time trying to get this to work in Oblivion when I got my 8800GTS.
I did what I was supposed to, setting HDR to on in Oblivion, and turning off AA in game.
I always have my Nvidia Control Panel set to enhance any application settings but it still wasn't taking.
I had to delete my oblivion profile and re-add it before it would work. Not sure if it was a bug or something just wasn't set right.
There is also a program called nHancer that makes setting profile and global settings a little more understandable and easy, though it isn't a whole lot different.