Comes with .ess savefile format and .esp plugin format for both version to try.
Extract one or both .ess files in the zip to "Documents and SettingsYour NameMy DocumentsMy GamesOblivionSaves"

I also recommend a save manager like Kyorisu's "Tes IV Save Manager", i use it all the time to test savegames.
http://tessource.net/files/file.php?id=2342

If you gonna use a save manager you have to create an additional directory in the "Saves" directory like "SavesArnulf" and put Arnulf in there.

I included .esp plugin files because some people want them.
I have no real experience with face plugin files but i used them to copy the faces to the savegames using Wrye Bash so i know they are valid.