You can make an animated door in one of two ways. You can start with the .nif file of an existing animated door from vanilla Oblivion and replace the mesh with your own. Alternately, you can make a door in Max or Blender and export it to create a new .nif file. I can't speak to doing it with Max, but thanks to the advances in the Blender Nif Scripts, it's relatively easy in Blender.
1) If you don't know how already, study one of the many animation tutorials for Blender. You will not need armatures, "bones", for a door. Rember to parent the movable collision to the door mesh.
2) Check http://www.tesnexus.com/downloads/file.php?id=12248 to make sure you have the latest version of Blender and the aux programs.
3) Model your door in Blender, then save three versions of your .blend file: one with the door model and no animation, one with the opening animation, and one with the closing animation.
4) Export the model with no animation to a .nif file, for example MyDoor.nif. In the Blender .Nif dialog, tick Export geometry only. Also, in the Collision Options, set Anim Static and set the material to wood, metal, etc. as appropriate.
5) Export the model with the opening animation to a .kf file, for example MyDoorOp.kf. In the Blender .Nif dialog, tick Export animation only. Also, set Anim Seq Name: to "Open" (w/o the quote marks).
6) Export the model with the closing animation to a .kf file, for example MyDoorCl.kf. In the Blender .Nif dialog, tick Export animation only. Also, set Anim Seq Name: to "Close" (w/o the quote marks).
7) Open the .nif file you created in step 4). From the NifSkope Spells menu Animation > Attach .kf and select the opening .kf file.
8) Repeat step 7 for the closing .kf file and you're good to go.
That's the big lumps. Hopefully you can fill in the rest. Good luck!
EDIT: (corrected the sequence names from "open" and "close" to the correct "Open"and "Close")