The Elder Scrolls IV: Oblivion Guide - Shivering Isles
Quest 1: A Door in Niben Bay
After downloading the Shivering Isles expansion pack and loading Oblivion, wait or sleep for two days and an in-game pop up should appear, explaining that an odd doorway has appeared on a small island in the Niben Bay. Fast travel to the location on your map nearest to the island and start walking from there. Swim out to the island, and on it you will encounter a guard named Gaius Prentus, as well as a strange Khajiit named S'fara. Soon, a Dark Elf named Belmyne Dreleth will step through the gate. Belmyne is hostile, so help the guard take him out when he attacks. Then, speak to Gaius Prentus and select the 'Strange Door' dialogue option to learn more.
Step through door to Shivering Isles when the voice beckons you.
A disembodied voice will soon call, inviting you to step through the doorway and into the Isles. While you should never trust a disembodied voice, take the plunge nevertheless and step through the Door to the Fringe. You'll appear in a strange office. Haskill, the man behind the desk, invites you to take a seat. Do so, and then speak to him from across the table. Haskill explains that the Daedric Lord Sheogorath is looking for a mortal to become his champion. You have a choice to make: turn back the way you came, or enter the Realms of Madness. Speak to Haskill again and choose the latter.