If you have never played oblivion, let me warn you that the leveling system is TERRIBLE and will seriously ruin your fun... unless you learn and do the follow:
this is how it works:
NEVER play the predefined classes, use a custom class (details to follow).
there are TONS of skills, each skill levels up when you use it a certain amount of times (cast X spells of type Y, jump X times, steal X times, etc)
Each skill goes up to 100. When you gain 10 levels in your main skills, your character levels up.
You can finish the game at level 1, ALL enemies power AND gear is 100% dependent on your level, that dirt farmer? he will be the same level as you, the ultimate demon? same level! that random encounter in the fields right outside the capital city? same level! This means you MUST control your level with an iron grip.
To level up, sleep after you have gained enough skill points. You can avoid leveling by not sleeping, but thats too risky, too much of a bother, and not fun. Also, when you level you get 3 "picks", you pick 3 stats and increase them, they increase 1 to 5 points based on how many ranks you gained in a skill that depends on them. So this is where leveling sub skills come into play. If you have leveled up your main skills fast and don't get much sub skills, then you will become weaker as you level up (due to enemies leveling), if you level up after maxing out your main attack skill, you will be become weaker as you level. If you level up due to any social skills, YOU WILL BECOME WEAKER!
The solution, I believe, is simple. Make a custom character, select ONE combat skill (a specific combat magic, melee, bows, etc.. just one!) as a main skill (skill that controls your leveling) and an armor skill (again, just one type of your choice). If you want the game easier, just your main attack skill.
The rest of your main skills should be skills you WILL NEVER USE.
You will thus go from level 1 through 20 (or 10) and it will ONLY happen when you level up your combat skills. So you will not get weaker as you level.