If that won't change anything, try to create steam library folder, and move oblivion on another partition/drive (at least move it outside program files). Exit Steam and open it with admin rights, then try to launch Oblivion. I can't really remember, but I think it had something to do with admin rights. Is Oblivion installed in C:\Program Files\ by any chance? I think I might've had similar issue a long-long time ago. I have everything on that should make it work, but it doesn't. It just says this may have not installed properly or run obse loader.exe to make it work, but when I run that, it doesn't want to run. I'm not saying it doesn't work, it may work for you, but for me it says I may have installed it wrong, but I installed it in the Oblivion folder, NOT data. I've checked 'obse tester' right now and it tells me that obse is working properly.
