Got it, just came back. It contains both DLC's you mentioned.

I think I am gonna be a Dunmer battlemage.
Welcome to Cyrodiil!
Battlemages are a good class to start out with - you get a taste of both magic and melee combat. Just remember that, in Oblivion, your spells are weaker if you wear armor. Illusion spells won't work if you're wearing armor, for example.
I'd suggest joining us in the Oblivion forum - its a friendly place, and you'll get some great tips.

Edit:
Well, good for you, but, now that I recall, Oblivion is almost nothing without the mods. So, your road to Nirvana still is a long way to go.
I don't think its possible for me to disagree more.
I play a very lightly modded Oblivion, but could easily play it in its 'vanilla' state. It's beautiful landscape, enjoyable quests, plethora of factions and dungeons take you quite a long way on that road. Not to mention what KotN and SI add.