Each daedric prince has their own realm of Oblivion each individual. In TES IV you shut close the oblivion realm of Mehrunes Dagon (the prince of destruction). This means other realms of oblivion will still open up such as Sheogorath's oblivion realm in the shivering isles expansion in TES IV and possibly the Soul Cairn in the dawnguard expansion in TES V.
Actually, all the player succeeded in doing in Oblivion was forbidding the Daedra from entering Nirn on their own accord. Not just Mehrunes Dagon's world was affected -- no Daedra can willingly enter Nirn (only Daedric Princes are an exception). Daedra themselves can still be summoned.