1) turn on your PC (or XBOX360 in my case)
2) open disc tray
3) insert disc
4) say goodbye to your friends/pets/parents/and anyone else you think may miss you
I don't know how many RPG's you have played so the order of the two games will be dependant upon how patient you are with games. If you can deal with the graphics and combat system, start with Morrowind. If you are more used to playing FPS style action games, then you may want to start with Oblivion and then go to Morrowind. Either way, both are incredibly fun games and will give you years of enjoyment.