(sorry about the german pics)
Execute the installer. If you get the message above, your installer was downloaded successfully.
Oblivion installed? Latest Patch too? Then you may proceed.
Do not install Nehrim into your Oblivion folder!
Again: Do not install Nehrim into the Oblivion folder, this can render both games unplayable. Nehrim needs its own folder.
After the installation you have to possibility to open the ReadMe file and the Launcher.
Both is recommended.
In the Launcher, click "Data Files".
Check Nehrim.esm and NehrimData.esp. All Oblivion mods and Oblivion.esm MUST be unchecked.
If this is done you are good to go.
This happens if you forgot to check NehrimData.esp in "Data Files".