I've read both your posts now and kinda confused about what you're trying to say.
When I start up the Set it begins to load the Shivering Isles data, and loads... and loads...
When you start the CS it should not be loading anything, least of all Shivering Isles. It just opens a blank window filled with 3 other windows. Something else is going wrong here.
When I try and cancel then select the data (double click the oblivion file, I know that much) it begins the same (loading SI) without success...
Cancel from what? Not sure what box you are seeing as there is no box while files are loading. When the CS is open, you click on the second icon at the top, from there a box opens listing all your installed mods. Double click on Oblivion.esm and click ok. You can see loading progress in the bottom bar of the CS. But like I said above, something is going wrong here.
Yup, oblivion is in the right place.
What does this mean? That it is installed in the Program Files folder? If you're on Vista or Windows 7 then that is your number one problem right there. Even if you could get the CS up and running and you create your own mod it won't save where you think it will in the Data folder, it gets put in a virtual folder somewhere and you'll probably never find it again. Same goes for mods you want to install. Oblivion won't recognize them. This is the joy of UAC.
Do yourself a favour and uninstall Oblivion, and re-install it outside of Program Files. Create a C:\Games directory or something to install to. You will save yourself a ton of headaches, and this is probably the cause of the weirdness that your CS is experiencing.
I deleted the file, and whilst the same message comes up, if I cancel it (a few times) and load the oblivion file as I should, it waits a moment and then works normally (as far as I can tell). I think it's working now, thank you
Again, what message are you cancelling? It doesn't sound like it's working properly to me.