Just to be sure:
After installing Nehrim, did you perform the following step listed in the Readme file (after making a copy of your Oblivion folder as a backup for later!) :
- When the installation is complete, go to the folder where you have installed Nehrim. Copy and paste ALL of it into your Oblivion folder (Steam\SteamApps\common).
- Disable automatic updates for Oblivion in Steam!
Did you also follow the steps listed under "Starting Nehrim (if you have Oblivion by Steam)" in the Readme file?
- Don't use the Nehrim Launcher!
- Click the
Oblivion start icon, not the Nehrim start icon. Choose "Data Files".
- Make sure you have selected
only the Data Files that you need: Nehrim.esm, NehrimData.esp, NehrimEnglish.esp before you click "OK".
- Now, click "Play" in the same Oblivion launcher window.
Do you still get the error message?