I will just second what Ni! says here. The Wiki is a great tool and Acadian is right to suggest that you read it. But Ni! is also right: be careful not to overuse it. Too much information - and too much of the wrong information - can possibly ruin the game the first time. Turn to the Wiki only when frustration threatens to ruin your game experience.
I think the Wiki (actually, any information source outside the game) is probably best used to look up game mechanics, not genuine spoilers such as quest walkthroughs. Elder Scrolls game mechanics are a little different than other roleplaying games (such as Dungeons and Dragons) and you may benefit from reading up on them a little bit. Just don't go overboard.

Don't be too worried about getting lost or not knowing what to do. Oblivion actually does a pretty thorough job (more thorough than the previous games in the series) of guiding players through the game's main quest, which is enough to get you started. After that, you'll probably know enough to make your own decisions.
Unlike in previous Elder Scrolls games, it's relatively hard to really screw things up. Bethesda tried very hard to make Oblivion idiot-proof. Relax, and enjoy!