in the Options/Gameplay submenu I disable all autosave options (on travel, sleep, wait, etc).
After you got it to the last version, start the game, go into the Options menu and make the following changes: If not, exit the game, download the latest patch and run it. See that it says in the lower left corner of the main menu. Start the game and check that it’s running the latest version. On modern computers go with Ultra High (in the launcher Options menu), then select resolution. Then start the Oblivion Launcher again and you should get that “first run” message. If you already had Oblivion installed on this computer (so you don’t get any message about this being the first run), make a backup copy of Oblivion.ini (should be under \Users\