Mac's OSX does not support this game. You must use a Windows-based operating system.
Well, the OP asked if there was a way other than bootcamp to Windows, and there is. Oblivion will run on http://www.parallels.com/products/desktop/gamers/titles/ in OSX. You still need to have Windows installed to the machine, of course, but Parallels lets you run Windows software from the Mac environment, without rebooting.
Also, it should be possible to run Oblivion on Wine in OSX, which wouldn't require Windows at all. Not an installation for the faint of heart, probably.