After i downloaded the construction and opened it i got a few errors: Unable to load CTL file,Cannot load the atmosphere model,Cannot load the stars and Cannot load the clouds. Im currently downloading oblivion which may be the problem(I already have it on Xbox360)and i already know what im going to add but i cant get it open any ideas?

The construction set does not supply any of the assets it uses. Once you have finished installing the game files, it should find them. However, I'm surprised that the CS would even install without them. You may have to re-do the CS installation so that it can find things.

So i need to wait for the game to finish downloading before I can start using the CS?

That's correct. The CS simply reads the content from your Oblivion directory. As there's no content, there's nothing to load.