Main Quest
The Main Quest in The Elder Scrolls IV: Oblivion involves you, the emperor, and closing the Gates of Oblivion.
You do not need to finish the Main Quest before any other quests, but you must complete the Intro Quest when starting the game.
After completing the Main Quest, a short cut scene will play. Don't worry, you'll come back to the world of Cyrodiil, allowing you to play all other quests.