I have not tried Fallout 3 this way so I am not 100% sure, but as Spock666 mentioned the game found the save files automatically. I don't think you could use Playstation save files on a PC and vice versa.) (As in, as long as the platforms are both PC. There is no need for the game to read or write different save game information if the platform changes so they should be compatible, regardless of the game.
In most cases if you switch platforms, the save file location remains the same and the new install should find the save games automatically. Miguelangelph: Do u know if the save from steam is compatible with the gog version of the game? Save files in general are handled by the game, not the platform.