If you have no experience with 3D modeling but want to learn, the following might be helpful.
There are three free modeling programs that can be useful in modding Oblivion.
Wing3D is the simplest and most intuitive modeler. With it you can create static and cutter objects and weapons. It does not support animation or rigging of any kind so it's not suitable for armor, clothing, or NPCs. Due to its simple interface and the fact that it's focused on just modeling (including materials and UV mapping) it is, by far, the easiest to learn. You can download it from: Wings3D Download Page. Doing a net search for "Wings3D" will get you to many useful tutorials. For tutorials specific to using Wings3D to create content for Oblivion, see my tutorials: Wings3D for Oblivion.
Blender is the most well known modeling program for Oblivion and by far the most difficult to learn of those listed here. Blender is free and will do everything: modeling, animation, rigging, procedural materials and textures, photo-realistic rendering, you-name-it. The fact that it does do everything is a part of what makes it difficult. For a simple model of a dagger, for example, there is a bewildering array of buttons and tabs that must be set correctly in order to successfully export for Oblivion. Another thing that makes Blender more difficult is it is always changing. The most recent updates are great, the UV mapping in particular. The problem is, you may find a tutorial for a particular facet you want to learn, only to find that it was written for a version of a year ago when the interface was a bit different. The bottom line is, it will take time, patience, and a good bit of effort to get comfortable with Blender. Many have given up in frustration. However, if you have the mental power and determination to master it, you will not find a more powerful or versatile free 3D program. You can get Blender at: Get Blender
The third program is gmax. Gmax is intermediate in both power and ease of learning between Wings3D and Blender. Gmax is basically a free, stripped-down version of 3ds Max about version 4. The idea was to strip out everything not essential for creating game content. So, things like procedural materials, photo-realistic rendering, and versatile import and export have been removed. All the key modeling stuff is still there. At first, when you notice that it only exports its own .p3d format (which nothing else reads) you may think it's worthless--not so. Since its purpose is to create game content, the idea was game people would write exporters for gmax for their games--and they do. There's Tempest for exporting to Quake and for us, Niftools supports gmax with a .nif exporter. Although I haven't tried exporting complex collision from gmax, apparently it even supports MOPPS collision! There are some tutorials specific to gmax and many for 3ds Max that are useful for gmax. If you think you will eventually graduate to 3ds Max, using gmax now means the transition will be very smooth. You can download gmax and gmax specific tutorials from: Gmax at TurboSquid. You can get the .nif exporter from Niftools 3ds Max and gmax Exporters.