I bought Oblivion from Steam.
First time play, identifies my graphics settings, all good. Press play, two seconds of a black screen, and then "Oblivion has stopped working...".
Windows identifies the problem, says it needs a patch. But Steam is set to automatically update the game.
I download the patch anyway just to see what happens, does the "old files not found" thing, so thats not the problem.
Deleted the Oblivion.ini, which seemed to work for other people http://www.gamesas.com/topic/1480470-simply-wont-start/, but not for me unfortunately.
As i said, never played before, literally downloaded and installed today. I have no idea :/
EDIT:
My bad, forgot specs.
CPU: Intel Core i5 3570K 3.40GHz
Motherboard: Gigabyte GA-Z77X-UD3H LGA1155
Vid card: Gigabyte GV-R787OC-2GD