Was this a mod you downloaded or created yourself? If you created it yourself, check the mod to make sure you made no mistakes. If it's one made by someone else, there may have been special instructions on how to use it included in a readme in the zip/rar/7zip archive it came in.
If your mod substitutes data files for your OWN files, you may need an ArchiveInvalidation.txt file to force the game to load certain NIFs/DDSs in place of the ones in the BSA files. You can read about that here. If you already have this, make sure the entries are correct and accurate down to the path. If you have trouble with that, I know there's a tool floating around the net that auto-creates it for you based on what you have in your Data directory, though the name of this program or where to find it escapes me.
If all else fails, make sure that you have a file in the following directory:
C:/ Documents and Settings/Username/Application Data/Oblivion
If it's not there, try the Local Settings directory and then the Application Data folder underneath that one, I forget which directory exactly it is. There should be a file called Plugins.txt. Although it says not to modify the file, it is safe to modify and if you mess it up, you can just delete it and the game's launcher will recreate one upon next start with no problems. Check to see that the mod's ESP files are in that list, including Oblivion.esm, the master file - if not, add the ESP file names in EXACTLY as they are in theData directory,then try it.
Hope this helps you, it's all I could think of.
Edit: Strange, this forum strips backslashes...
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