I just downloaded the Construction Set after having F-Disked my computer and restoring it to factory settings (and yes, I've already installed the game; for a few months, now, I've just been playing the game without mods). I go to file, and the data, but there is no master file for me to select. Here's a screenshot showing you what I'm talking about.

http://i270.photobucket.com/albums/jj93/dstebbin/ConstructSetnomasterfile.jpg?t=1295667306

What am I doing wrong?

Did you install the CS in the game folder?
\Oblivion\TESConstructionSet.exe

I installed it in its default folder. Whatever the folder was when I first downloaded it. I didn't change the folder that it offered to install it in. Usually, that folder is the best.

It's probably a good idea to look at the path whenever you install anything, as it might not be going to place you think it is. Check your oblivion folder for the Construction Set executable files.

It will, by default, install to the root of your Oblivion folder as defined by the Windows Registry. Which means that if you've picked up and moved your Oblivion folder without updating the registry, the CS will be confused. Even if TESConstructionSet.exe and Oblivion.exe are in the same folder, if that's not the folder where the registry thinks they are, then the CS won't detect your Data folder (and thus Oblivion.esm).

Re-install Oblivion & the CS (and yes, do ensure they are both going to the same root "Oblivion" folder), or update Oblivion's installed path in the registry, and either way the problem should be fixed.