I just stater play Oblivion, im where i come out i the free, after going in tunnels in start game, but i see all sky and water is purple, is it normal?

I have a mod calling Arthur_Natural_Weather, in Oblivion Data Files i remove the chroos for it, the sky ,heaven and water looks normal now!

That bring me to ask, shall the little square in Oblivion Data files be emty or whit a chross ?

The squares for files (mods) you want to use should have an x in the squares. Oblivion.esm should always have an x, all of the others are optional.-activate them if you want them.

Bright pink/purple textures as you described mean the game could not find the appropriate texture to display on the mesh.

If this was caused by a mod (as you confirmed) it means you did not install the mod properly.

http://tesivpositive.animolious.com/?page=installing_mods on how to properly install mods.