First, make sure your computer meets all the minimum system requirements to run the game:
- OS: Windows XP 64-bit, Windows XP, Windows Vista, Windows 7;
- Processor: 2 GHz Intel Pentium 4 or equivalent;
- RAM: 512 MB;
- Free hard disk space: 4.6 GB;
- Video Card: 128 MB Direct3D compatible and DirectX 9.0 compatible driver;
- DirectX 9.0c;
- DirectX 8.1 compatible sound card.
If the requirements are fulfilled, try to update your video card drivers and install the latest version of DirectX. Is it doesn't help, uninstall Oblivion, run a registry cleaner and install the game again. This should fix it.