If you are using a retail (non-Steam) version of the game:
1. Copy obse_1_2_416.dll, obse_editor_1_0.dll, obse_editor_1_2.dll, and obse_loader.exe to your Oblivion directory. This is usually in your Program Files folder, and should contain files called "Oblivion.exe" and "OblivionLauncher.exe".
2. Run oblivion by running obse_loader.exe from the Oblivion directory.
If you use a desktop shortcut to launch Oblivion normally, just update the shortcut to point to obse_loader.exe instead of oblivion.exe.