I'm going to buy a brand new rig with the following specs:

MAINBOARD: ASUS P6X58D-E X58 DDR3 LGA1366 ATX
CPU: INTEL CORE I7-960 3.2Ghz LGA1366
RAM: KINGSTON DDR3 TRIPLE CH 3X4GB 1600MHZ HYPERX
VGA: SAPPHIRE AMD RADEON HD6950 PCI-E 2GB GDDR5 DX11
OS: WIN 7 HOME PREMIUM 64-BIT IT DVD SP1

Is there anything I should know before installing the game with all the bells and whistles? I've heard of a 4Gb patch for oblivion.exe, will it run fine on Steam?

Install steam outside of program files folder. Save yourself a bunch of headaches.

I would give the LAA patch a shot anyway...... worst case, it won't help.