Well, another issue could be is if you installed the CS somewhere other than your Oblivion folder. Basically your error message means the CS can't find Oblivion.esm.
So, here are things to look for:
1. Find your Oblivion folder. This is the folder containing Oblivion.exe. Do a file search for it if you need to. This folder is where you need to install the Construction Set. If you don't see TESConstructionSet.exe in this folder, you need to reinstall the Construction Set to this folder.
2. Inside your Oblivion folder is a folder called Data. This is the folder where all your plugins (.esp files) and masters (.esm files) and such go. It must contain Oblivion.esm.
3. If you have the CS installed correctly, click on the Data button at the top (looks like a folder). A list will come up of all the plugins and masters in your Data folder. Double-click one to add or remove and X from the tickbox next to it. These are the masters and plugins that the CS will load.
4. If you want to edit one of these, you must highlight it, and click the "Set as Active File" button. Otherwise you will be starting a new plugin, and all the other ones (except Oblivion.esm) will effectively be for decoration only. Since you are new, it is best to start out with just Oblivion.esm and your plugin loaded, because modding with other plugins loaded can get confusing until you have the hang of things.
5. Press OK and wait for everything to load, then start modding.
You may want to practice installing/uninstalling mods until you get the hang of where files are supposed to go.
You can also head to TESAlliance and start on the beginner classes there; they are excellent. (click the orange link in my sig)
There's also the http://cs.elderscrolls.com/constwiki/index.php/Category:Getting_Started, which is like a glossary/encyclopedia/tutorial collection, and has some great beginner's guides, like what files types do what, and where they go, and how to load a plugin into the CS, etc. Good luck!