About half the mods I install work, half don't. I follow the read me files and instructions too. Something to note is that quite a few of the ones that don't work have a lock symbol on the .esp file in the data folder. The ones that don't work are: imperial city unique districts, better cities, and quite a few companion mods. Some of them are a simple extract, copy into data folder, and check on the data files type of mods but even those don't work! The occasional mod will work. I use mod manager and manual installation.

Load order please. Also, are you using BOSS? And do you have a bashed patch?

Since I don't know what BASH is I guess no I'm not. And I don't remember putting in any patch besides the 1.2.something and the unofficial patch. Does the load order matter, is that the reason? Do you know what the lock means?

I'm not 100% sure what the lock icon means, but load order and especially the bashed patch absolutely matter. With even a moderately large mod list, you're likely to start encountering mods that don't play nice with each other. Proper ordering of mods and the use of a bashed patch can go a long way towards solving that.

I'd recommend you pick up http://www.tesnexus.com/downloads/file.php?id=20516, http://www.tesnexus.com/downloads/file.php?id=22368, and the Unofficial http://www.tesnexus.com/downloads/file.php?id=5296 and http://www.tesnexus.com/downloads/file.php?id=10739 patches at the very least--except for the last one if you don't have SI, of course. BOSS is the Better Oblivion Sorting Software, which automatically sorts your mods to minimize incompatibilities and other nastiness. Wrye Bash is a daunting-looking but just about essential tool whose arguably best-known utility, the bashed patch, can go a loooooong way towards improving your mod-related experience. It can look a little scary at first glance, but it's not nearly as bad as it looks, and it's incredibly useful.

The unofficial patches, meanwhile, aren't mod utilities but mods themselves--however, they fix a massive number of bugs left in the vanilla edition of Oblivion, and I at least treat them as being of almost equal importance as the utilities I mentioned.

If you have any questions, don't hesitate to ask.

EDIT: Ah, I just noticed that you mentioned the unofficial patches already. Do you have Arthmoor's http://www.tesnexus.com/downloads/file.php?id=27710 for the UOP as well?

The "lock" is a permissions indicator in Win 7/Vista - it means that these files are set to "private" and cannot be accessed by just any user of your machine, only those you've given permission.

To fix:

Firstly, make sure you do not have Oblivion installed inside the Program Files or Program Files (x86) folders. Install to a new location created by you, such as c:\Games\Oblivion or whatever you like. Since upgrading to Win 7, I've installed mine in c:\Users\Public\Games\TES4\Oblivion for easy sharing across my home network.

If that alone doesn't solve your problem, you'll need to reset the permissions on the files in your Oblivion folder. Make a backup of the folder first, just in case you inadvertently blow up your machine or start World War III. These instructions assume you have followed the previous step of re-installing Oblivion so that your Oblivion folder is in a folder you created or in a public location on your drive that has no security restrictions.

To reset the permissions to "default", right-click your Oblivion folder and go to Properties. Click the Security tab. Click the "Advanced" button. Click the "Change Permissions" button. Check BOTH of the boxes at the bottom, "Include inheritable permissions from this object's parent" and "Replace all child object permissions with inheritable permissions from this object". Click "Apply". Depending on how big your Oblivion installation is, it may take a few minutes for this to process. Let it finish and click OK until all the dialog boxes are gone; your Oblivion folder should now be free of little "lock" icon overlays.