To my knowledge, unless you unpacked the BSA files that come with Oblivion, you won't find the .nif files in the directories. But, there is an easier way to create a key without going through the hassle of finding the .nif files and the .dds files for the icon.
You find the key which you think looks best in icon and appearance. Open it and change whatever you need to change. Click OK, it should say that you changed the form and do you want to create a new one. Click YES and it should create another key with those settings, and there you have it!
I'm sorry if I left anything out.