You have the task of finding the hidden heir to a throne that sits empty. Tamriel's previous emperor has been slain, and with no true ruler the gates to Oblivion open and demons begin to invade the people and towns of the empire. It's up to you to find the lost heir to the throne and unravel the sinister plot that threatens to destroy all of Tamriel.
Horses are a feature in Oblivion. Pity you can't fight from horseback and they're only meant for travel.