So my render window is gray.

I have morrowind.esp selected, and I'm in 32 bit color. I also do not have a TNT-Nvidia based graphics card. I've tried double clicking a region and then an object in the region, and I can see it loads (in the bottom bar) but my render window remains gray and empty.

any ideas?

Have you zoomed in towards a selected object?
If you're far out, or all the objects are "off camera" you won't see anything.

Also make sure your 'Preview Window' is not selected. It replaces the Render window if it is.
It can be toggled on/off in the View options.

Just some things to check that are easy to miss. I don't know about your video card.