In some cases, you may need to manually remove Oblivion from the system.
Delete the following Registery keys:
HKEY_LOCAL_MACHINE\SOFTWARE\Bethesda Softworks\Oblivion
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Uninstall\{35CB6715-41F8-4F99-8881-6FC75BFO54BO}
Then delete the Oblivion folder from the hard drive, empty all temp folders, then reinstall the game.