From Nexus Wiki
You MUST be signed on as an Administrator to do any of this.
If you have downloaded and installed a mod, and the mod is appearing in your Data Files List, but not in your game And you are running Vista, you have run into a security feature of Vista called User Account Control. Or more simply, UAC.
Quoted from the Oblivion Mods FAQ WIKI
Alternate Install Directory
If you install your Elder Scrolls game into any directory OTHER than the default, none of these problems occur. Thus, you can bypass the Vista security issues by installing the game onto another hard drive or into a new directory that is not located within the "Program Files" root directory (such as "C:\Games").
Run as Admin
Another way to fix it is to right-click the ".exe" file and click properties, then check "Run as administrator". Then click OK. Do this for both the "oblivion.exe" and TESConstructionSet.exe", and any programs you are using that copies files to protected directories (such as WinRAR, 7z, or WinZip).
Windows Vista users who are fairly confident in the security of their computers might also consider disabling UAC altogether. This will allow all programs writing privileges to the Program Files directory. Although this obviously creates a state of decreased security for your PC, it is a very helpful one-size-fits-all solution to a number of compatibility issues with the Vista OS.
Look here for instructions on how to turn UAC off. Disable User Account Control (UAC) the Easy Way on Win 7 or Vista
Of these, solution #1 is STRONGLY PREFERRED. Solutions 2 and 3 (running as admin and disabling UAC) remove important safety features of the OS. In contrast, installing Oblivion elsewhere resolves the problems with Oblivion without reducing your overall security.
Note that unless you opt to reinstall the game in a different location (option 1) when you start trying to make your own mods using the construction set, you will run into these problems again.