Well this is one great way to improve performance for anyone with a multi-core CPU and Hyper Threading.
Check out "\My Documents\My Games\Oblivion\" and open up that "Oblivion.ini" with notepad or any text editor.
Then, just hit Ctrl + F to bring up the Find menu.
All you are going to do is change a few values in your favor
Look through and change these values, then save
bUseThreadedBlood=1 (default 0)
bUseThreadedMorpher=1 (default 0)
bUseThreadedTempEffects=1 (default 0)
bUseThreadedParticleSystem=1 (default 0)
iNumHavokThreads=3 (default 1)
bBackgroundPathing=1 (default 0)
bUseBackgroundFileLoader=1 (default 0)
iThreads=10 (default 3)
As for the STEAM version, im sure it works the same way, if not, then id check your Steamapps folder and dig through there to find that INI file.