I have started the game and am at the edge of the sewers right after Septim dies, every time I try to go into the sewers the game goes to my desktop and gives me an error message, what can I do to stop this?

your video card is most likley not up to snuff
update direct x
your drivers
if that doesnt work you might want to look in your video card hardware

oh and tell us more about your system

Yes, and mainly about the mods you are using, if using then, of course.

Thats is happening to me too, but im runing Oldblivion instead of Oblivion itself :/
Im not using any mods, and even so the game crashes at that exact point...

Someone help please >.<

Didn't I read something somewhere - on the UESP Wiki, I think - that says sometimes when you crash in the sewers, there's an issue with how your character is named? They gave directions for opening the console and changing the filename to see if that was the issue (before the point where you crash).

I think it has something to do with extra spaces in your name, or odd characters in it, but I could be misremembering. It's probably worth looking into, at least.

I had this a lot of times too, especially when I reinstalled the game and dumbed an enormous amount of mods in it - But it seems you need to carefully place each mod, then check if the game still works + save. Since I had these mods before I blindly trusted them.

If you have any mods active I suggest deactivating them all. except oblivion.esm.

Eolath

Edit: Btw, try coc testinghall and see how it goes from that point on - or try activating an alternative start mod. It might just be the sewers.

I heard that upon exiting the sewer, the game is introduced to new or a larger quantity of shaders and graphics, that's what Bluekatt was getting to, this can crash your game immediately if your video card, maybe even RAM, doesn't meet the requirements

Can you give us a rundown on your computer? CPU, Motherboard, RAM, audio system, Video card & video memory. Also, defrag your hard drive, that helps sometimes.