i was reading the Oblivion manual and i discovered that you can set a blue arrow like in skyrim to set the location were you want to go. if you already knew youre awsome
if not i guess we need to spend more times reading game guides

just -SHIFT AND LEFT CLICK TO MAKE THE BLUE ARROW APPEAR

by the way i didnt bought the game guide i download it from the TheElderScrolls.com just go to Oblivion Media and if you want the map, game guide and much more stuff for free go there!

I think most people know that, even so, congratulations on finding out!