To get you started:
The world is called Nirn, and it consists of several continents. The main one is Tamriel.
And TES4: Oblivion is happening in it's central province: Cyrodiil (inhabited by men, with roman-like culture).
The world is inhabited by all sort of creatures and races (men, elves, cat-like Khajiit and lizard-like Argonians).
There are good gods, the Aedra and the evil gods, the Daedra.
This mod is based on Shivering Isles, a parallel plane ruled by Sheogorath, the Daedric prince of madness.
It's being invaded by Jyggalag, the prince of Order and that's one hell of a realm.