I just installed Oblivion on a new PC and I am unable to start a new game as nothing is displayed except for the menus. http://i51.tinypic.com/51zvo1.jpg.

I really don't understand this, I've never seen this before. Any ideas?

Core i7 920, 6GB RAM, ATI 5870 with Catalyst 10.10 Drivers. Oblivion is installed on it's own hard drive @ E:\Oblivion

That IS weird...... I expected to see you having an Nvidia card, not the ATI......

Try deleting your oblivion.ini in My Games\Oblivion... let it redetect your hardware, and see if that improves things at all.