I've played it several times, but never actually owned it... Until today! I bought it, but haven't installed it. But most mod sites should have a Tutorial or Walkthrough or FAQ section that guide you through the process of adding a mod to your game. It's probably not as complicated of a process as you think. Just take a look around the site you got it from, or use a Google search to find info about mods for Oblivion.
That's all the advice I can give.