I have a 5L EFI Windsor with LE95 Auto including tranny cooler (In a Cobra).

Engine oil is running at 115 degrees C. is this acceptable or should I be contamplating a Oil Cooler?

Temp rises pretty quickly (which is good) and then sits at 115 C. Water temp is running at 75C due to a low temp thermostat.

Thanks in advance

Yeah, I would run an oil cooler. Running at that sort of temp, the oil wouldn't last long. The oil should run at about 80dgs to 90dgs.
What grade of oil are you running????

Castrol GTX2.

Is there another brand which is better suited to higher temps.

The car probably only does 4,000 clicks a year and the oil is changed yearly.

Try using Penrite HPR 15. Its 15W60. Use Nulon E20 with it. I have used this, and still do, in my m/bikes. With an oil cooler too.