Re: Making my own computer.
Looks compatible to me, though like others have suggested, you might want a better power supply. I'm no good when it comes to choosing one, but more than 380 watts would definitely be better. You'll probably want at least 450W, with anything higher being better of course.
But if you plan on playing Oblivion, you'll need a graphics card. If you plan on playing it with decent settings, I'd at least get a GeForce 7600GT or Radeon X1650PRO. Anything up from that would be better; anything lower would have to run at awful settings. I'm pretty sure a Radeon XPRESS 200 won't be able to run it at all, but you may be able to get low settings with it.
edit: If your budget complies. But at least get a graphics card before attempting to play that game. It's very graphics-intensive.
Good luck with your build.
ASUS A8N32 SLI-Deluxe, AMD Athlon X2 3800+ @ 2.8GHz, eVGA 8800GTS 320MB, 2GB Corsair XMS DDR400, 160GB WD HDD + 320GB Seagate Barracuda 7200.10, AC Freezer 64 Pro, 700W OCZ GameXStream, NZXT Zero :D
I think I've decided to leave... maybe I'll come back sometime.