Windows 7

If you have Oblivion installed to the Program Files (x86), try running as administrator. If that doesn't help, sorry.

1. Go to your C:\ directory.

2. Create a folder called "Games" if not already there. And inside the games folder create another folder called Oblivion.

3. Uninstall Oblivion from the C:\Program Files directory.

4. Reinstall Oblivion to the C:\Games\Oblivion directory.

5. ???

6. Profit.

It's because anything that is installed to the Program Files directory is subject to UAC restrictions. Either disable UAC or do what I just told you (which I would recomend highly over disabling UAC or running as Admin) and you'll be all set. Oh, and make sure after you re-install to also add to that directory the newest DirectX Redistributable.

Edit: And if you're wondering why I would recomend not simply running as an Admin, it's because that doesn't actually solve the problem. You'll still run into issues down the line with other mods you install. The way I just recomended you will ensure that you'll never be subject to Windows 7''s stupid security measures against things you know you want to add to your own game.