I was having this problem, too, with the game crashing. Try making these tweaks to the Oblivion INI:
bForce1XShaders=0
bSaveOnInteriorExteriorSwitch=0
SIntroSequence=
bUseWaterShader=0
bUseJoystick=0
bMusicEnabled=0
Unfortunately, it looks like it was the music that had to be disabled, which is unfortunate because Oblivion has such great music. Anyway, give these a try and see what happens.
Also, if this is your first time using Oblivion on CXG, make sure to go to the WineConfig in your Oblivion bottle and deselect either or both of the "Allow the window manager to (control/decorate) the windows" boxes. This will prevent a bug that forces the mouse to the bottom of the screen. It only exists if they are both selected, but I haven't seen any effect of leaving either checked, anyway.
EDIT: More tips can be found on this site at: http://www.codeweavers.com/compatibility/browse/cat/?app_id=2407;tips=1
I also found this page helpful, despite being geared towards Linux: http://www.uesp.net/wiki/Oblivion:Linux#Starting_Oblivion