Ok, bit of a forewarning here first.
Using the registry editor is not something to be undertaken lightly. You have every opportunity to totally hose your system with a simple slip of the finger, so, BE CAREFUL.
So, that said, open the registry editor by typing "Regedit" in the Run box, or search box, on Vista/Win7, from the start button.
do a search for bethesda softworks. It should find a folder for you, that has entries for all beth games you have installed. Highlight the Oblivion section, and simply delete it. Reboot, try the install again.