Alright, as soon as I use HDR and load a save, the world is all black. The HUD is there, and I can still go everywhere. But I just can't see anything.
And the option Shadows on Grass and Shadow Filtering are not availabe. They were first thought.
My Graphics card is a GTX 560 Ti, so it's strong enough..

Nvidia blackscreen bug. There are numerous fixes available for that, including a tweak in Wrye Bash.

Any changes I can get a link (or links)

But what about the fact that I can't use the option Shadows on grass, when I could before.

Did you update your graphics drivers?

http://www.tesnexus.com/downloads/file.php?id=13632. I am sure there are others as well. If you have wrye bash, you can't integrate the fix into your bashed patch.

Problem found
I updated the driver with the one they made for Battlefield 3
Seems like it screws Oblivion all up.
HDR works, just as the shadows on grass

Cool. I am not really surprised that a driver update will either solve, or induce problems.

Aaand, turn of my PC, next day turn on again, begin Oblivion, problem back.

Sigh

Try the nvidia black screen fix I posted above. (or, turn off HDR, and try bloom. That may fix it as well.)

Bloom works good. I've been using it all the time. But I still find it strange how HDR works, and after starting up my PC again, it doesn't.
Just as with the Shadows on Grass and the Shadow Filtering options. First available, restart PC, grey'd out.
Also, when starting up Oblivion again, I notice that it detects my hardware again.

EDIT: After digging through google again, but with a different search, I found out what the problem was. With the installation of my Graphics card came a program called Gamers OSD (something you can make movies and screenshots with). That was the problem of it all.