» Fri May 27, 2011 5:13 pm
Just to rule out the obvious, since we don't know the questions you've asked or the answers you've received:
You're on PC right?
Have you activated the console before?
If you haven't, when you press the tilde ( ~ ) key (or whatever you have below Esc), the screen should just freeze, and it won't look like anything's different -- there'll be a small cursor in the lower left corner though. There's no window in Oblivion, like there is in Morrowind.