Go into My Games\Oblivion and click on Oblivion Configuration Files. Scroll down till you see [Interface]. Scroll under that and you should see this:
bAllowConsole=1 (if it says 0, change it to 1)
Go into your game and now press the tilde (~) key. You won't see a console box, just a flashing line ( _ ) and you should be able to type in what code you want. Hope that helps.