Originally Posted by Freebase Dali

Well, I did a bit of Googling and apparently Bethesda's installer/uninstaller has a huge bug in Oblivion. Thankfully it never happened to me with Fallout 3.
Anyway, from the looks of it, you're far from the only one with the same exact problem.
The fixes I came across were varied, but I really don't have the time to consolidate all the information I found even in the first page of Google results.

You may want to type the following in google: Oblivion uninstall error

Do a little research and see if you can zero in on at least 3 different solutions.
I wish I could help more, but this is clearly a developer bug that can only be solved via trial and error... You just have to find out what works, and the best way to do that is by researching.