There could be several reasons;
1. You're on Vista or Win7 and installed Oblivion into the default Program Files location.
2. You're using the old v1 of the CS to create your esp's.
You should re-install Oblivion outside of Program Files, into it's own directory like C:\Bethesda Softworks\Oblivion to avoid the UAC issue you're running into. Or, if it's #2, get CS v1.2.