Then simply double-click the mod in the 'Mods' tab of NMM after it has finished downloading your mod.
If you installed your game into your program files folder (which is not recommended), right click the Oblivion.exe either in the Install folder or on your desktop, click properties, navigate to the 'Compatibility' tab, and tick the checkbox next to 'Run this program as an administrator'.
I will take you step-by-step through the process of installing mods for Oblivion, and soon you will be gaming like the rest of us! Note that these instructions are based on Windows 7