That sounds like the nVidia black screen bug, which is clearly...odd. Have you tried updating your card's drivers? Is this a system upgrade? Was the game already installed? For that fix, you can try installing the Unofficial Oblivion Patch and the Supplementals updates. However, if this is happening at the beginning of the game, as in, in the starter dungeon, that's probably not the issue...?
It could also be your GPU overheating: http://www.uesp.net/wiki/Oblivion:Technical_Support#Black_Screen
Check your card's temps in GPU-z or the ATI control panel or something.
--Tomlong75210