I just bought Oblivion GOTY yesterday so I am still learning my way around. Unfortunately my horse has wandered off somewhere. I'm trying to get various mods to work in order to find him but I can't seem to get any of them to work.

I've tried CallSteed, Dude Where's My Horse, and Horse Commands. I put them in the oblivion/Data folder and check the boxes next to them in the Data Files screen, but there doesn't seem to be any change in-game. No new spell or power or quest or ring or whatever the various mods claim to add. I've tried disabling all the other mods in case there is a conflict but I'm not having any luck. Can anyone explain to me how to make any of these things work?

I never used any of those mods so I can't really give any advice on those but normally if you fast travel somewhere your horse should be right next to you after arriving.
If it's not, it's probably dead.
Just to be clear it's a horse you bought, not one you stole right? Because normally horses don't wander off but stolen ones go back to where you stole them from.

I had this problem recently, my horse disappeared neared Hackdirt. Looked around, wondered if it had been gotten by nasties, since DWMH didn't show it up as being anywhere, but also couldn't find any horse corpses. Gave up, bought a different horse ... and some time later found my original horse back where I'd originally bought it, at the stables in Cheydinhal. So, you might want to go and look wherever you got your horse from, it may have wandered "home", as it were.

I've noticed that according to DWMH my horse seems to wander all over the place...

You can load an old save where you still have your horse, work out it's refid by clicking on it with the console, then load your newer save, say "prid insert its refid here", and then say "moveto player". Alternatively, say "player.moveto insert its refid here" if you want to move to its location. Unless you already knew this. I've got no ideas about how to get those horse mods working.