Basically, once you have opened Oblivion's application, do not minimise or try leave Oblivion's window in any way other than clicking the exit button.
Basically, when you leave Oblivion's window, your PC's resources which would be dedicated to running Oblivion are now being used to run the background applications and Oblivion is not coded to recover those resources when you go back into Oblivion. This and bugs & errors in Oblivion's code means that you will experience problems when you try going back into the Oblivion application.
Some of the problems that have been reported due to this are increased instability, black screen with sound and CTD as soon as you try to maximise Oblivion again. So the solution is to not press keyboard keys that will take you out of Oblivion (eg, Alt-Tab (switch to another open program), Windows Key-D (show desktop), Windows Key (open start menu), etc).
Also disable software that might try to minimise Oblivion (eg, Avast! Antivirus has a setting which makes it check for full screen 3d applications before displaying messages).