Greywolf1: Without further information, I see a couple of potential explanations (not mentioning any number of causes due to incompatibilities between your PC and Oblivion):
- You are using one of the "exit" savegames obtained from the internet. These savegames let you begin at the sewer exit rather than in the prison cell where the tutorial starts. You never know from which installation these savegames were created. Solution: Try another savegame of this kind, or go through the tutorial yourself.
- A random crash. In this case trying again (if necessary two or three times) should get you out of the sewer.
- A faulty installation. Could be resolved by a COMPLETE de-installation, followed by re-installing Oblivion and trying again.

There are also potential explanations having to do with savegame corruptions. In this case it may help to start the game using the autosave.ess or .bak files contained in your saves folder.

Perhaps it would help to tell us how you got to the sewer exit: Going through the tutorial, or opening an "exit" savegame downloaded from the internet? And is this the first time you're playing Oblivin on this PC, or have you played it before? And finally, are you sure you're not using any mods or unofficial patches?

tinyE: I went through the sewer, bit by bit, though I kind of charged through some parts, not killing EVERYTHING.
As for mods, I installed EXACTLY what I downloaded from GOG, nothing more.

Greywolf1: Well, then I can't offer you an explanation, sorry. It's unlikely that there is a general issue with Oblivion. Like I said, there are faulty installations (mostly registry-related, often caused by incomplete prior de-installations), and there are "random crashes" (one-time crashes, for no apparent reason).
Either start again, saving your progress a couple of times along the way (make sure you save before you exit the sewer by all means - such an "exit" savegame is very useful when you start a new Oblivion game, but don't want to go through the tutorial again). Or load a savegame, if you have one. Try the autoexec.ess, or rename the autoexec.bak to autoexec.ess, and try again. Chances are not bad that you manage to get out of the sewer this time (alternatively, if the problem is reproduceable whenever you try, this is valuable information).
By the way, what exactly do you mean by "crash"? CTD, PC hangs, error message, ...?

tinyE: I'l do a fresh download and install later, I really don't feel like going through all that again.