I installed now the unofficial patch for the official mods, but OBMM says that there is a conflict:

"Invalid argument to function 'dontinstalldatafolder'
Folder 'textures\menus\icons\weapons50\nd\' is not part of this plugin in line 180


Is that normal?

What mod were you installing? Looks like an error in the OBMM script.

I was installing this mod:
http://www.tesnexus.com/downloads/file.php?id=9969

With Omod, am I not supposed just to click the file and let obmm do everything? It gives another error like that even with another plugin: RPG-Black Dragon AT 2.0 Shader

That should not have given you an error unless there is a problem with what DLCs you have installed. Perhaps to ask in the Unofficial Oblivion Patch thread.
Conflicts are normal when installing these as mods overwrite other mod files.

As for the AT 2.0 shader, does that really work for you. I tried it a while back but things did not look too good no matter how much I tweaked. I don't recall hearing of anyone using it but who knows.

On another note, you might consider switching to BAIN - part of Wrye Bash - for installing and managing you mods.

And yes, with an omod you should just click it and follow the prompts, usually saying no to warn you about conflicts.