The launcher is completely independent from Oblivion and pretty much self contained.
Since it is also affected I'd guess it is rather a problem on the Windows side. But what? - No idea.
On Vista or Win7 UAC would be the main culprit as it silently (as far as the installer is concerned) blocks file access.
Or has your antivirus software similar ambitions and blocks file access in the background?
It could be a
really "interestingly" broken download of installer. Which should not happen since it contains a couple of sanity checks...
The md5 sum of the installer should be: 2395ef942f7bc67be794f267604c3809
The sha1 sum of the installer should be: be78743ad9391e3a741ced11a769afd2ee906aac
Other than that it is pretty much back to installation lottery:
If you have a modded Oblivion start with making backups.
Reinstall Nehrim. (IIRC that did not work.)
Remove Nehrim.
Remove Oblivion. (Via setup, not simply deleting the files.)
It is Windows, it never hurts to reboot.

Install Oblivion. (Extensions and Mods not needed.)
Patch Oblivion!
Run Oblivion, it should work.
Install Nehrim.
Nehrim should work.
If the Nehrim installer throws errors or warnings during the installation, don't ignore them - make a screen shot.