Okay, first time Oblivion player ey?
Welcome to the best RPG game of all time (IMO).

This site http://uesp.net/ is the single most important Elder Scrolls resource out - the wiki. An overview of Oblivion is http://uesp.net/wiki/Oblivion:Oblivion and if you played Morrowind, you might want to see http://uesp.net/wiki/Oblivion:Oblivion_for_Morrowind_players.
As for you're race and stats...boy that's hard. Trust me, you will restart the game hundreds of times over in your years of playing this game, choosing different stuff each time. You can make a player specifically for roleplaying, for fun, for enjoyment or just to try something out. The forum is an awesome place, so don't be afraid to post when or if you need help.
Read the manual that comes with the game or just browse the wiki to check out the http://uesp.net/wiki/Oblivion:Races, the http://uesp.net/wiki/Oblivion:Skills and the http://uesp.net/wiki/Oblivion:Character_Creation.
If you're ready to go and don't want to read around, then I suggest you make an Imperial - they're middle ground on everything. Go through the tutorial and find out what you like best. Did you like the bit about flinging around fire balls, or smashing in skulls with a mace? Did you like the thick armour, or did you prefer the lighter stuff? Did you like sneaking up and killing things with a dagger, or charging into combat with a sword and shield? Did you like standing from a distance and shooting arrows or did you find that just your fists were good enough?
See, that's all the things that you can do in Oblivion - and that's just the combat. So, once you get to the end bit, you will be asked to choose a 'Class'. The game will suggest one based on how you played, but that's a bit off to tell the truth. So read the descriptions of the classes and choose the one that sounds best. No harm done -- because you get another twenty minutes of fighting through sewers to decide what you
really like -- and see if the class you chose was off, or right on.
At the very end, before you emerge into the real gameworld and have your mind blown by the awesomeness of TES IV - Oblivion, you get one more final chance to redo everything. Skin, race, hair, eyes, class, birthsign - all of it. Here's a tip - Save the game before you exit the sewer gate. You'll know what I mean when you get to it. Because afterwards, a few hours down the path, you can reload to this save and change your stats if you found you didn't like your character.
I hope that helps you, and I hope you have a great Oblivion experience. :tes: