I've had this issue in 7 as well. When I open up a downloaded file that is a zip file that I did not save, it gets put into your temporary folder. For example, if you were to download a mod that was a zip file and instead of saving, you just clicked "Open", it would place it in a temporary folder so you could access it. If I install said mod and try to edit and save it, this window pops up. I found that, when you install the mod, if you delete it from this temp folder, this issue doesn't happen. I think the computer sees it open in 2 places for some reason and doesn't know which one to save, since it sees both files as open.
Again, I've only seen this with unsaved ZIP files. If I save the ZIP file or the download is a 7z or Rar file, I don't have this issue. No idea why. I never had this problem when I ran Oblivion on XP, so I think its a incompatability with newer operating systems.