The Elder Scrolls IV: Oblivion Guide - Main Quest Walkthrough
Once you've delivered the Daedric artifact to Martin, locate and speak to Jauffre. Use the active quest marker to find him, as he tends to move around a bit. He explains that an Oblivion Gate has opened up near Bruma, and the guardsmen need help shutting it. Since you have already successfully closed one of these gates before, Jauffre wants you to assist them. Once the guards see how it's done, they should be able to better handle opened gates in the future.
You need to travel to Bruma and meet Captain Burd outside the city walls. Simply fast travel to the Wildeye Stables outside of Bruma; you should be able to see the gate in the distance if you turn around.
Approach the troop of guards gathered by the gate. When Captain Burd approaches, tell him that you are prepared to enter the Oblivion Gate. Remember that things are rough in Oblivion, so be sure to have a supply of repair hammers, arrows, potions, and the like before stepping through.
Meet Captain Burd and the Bruma guardsmen by the open Oblivion Gate outside the city walls.
Captain Burd is an 'important' character, and as such is marked by a crown icon when the crosshair hovers over him. This status means that when his health falls to zero, he will not die, but only knocked unconscious and rendered incapacitated for a short period of time. Burd is the only character who needs to witness the closing of the gate, so whether the other guards that accompany you live or die is unimportant. The nature of the Daedra encountered while in Oblivion is dependent on your character's level. If your character is currently at a higher level, you will likely face some nasty Daedra that can wipe out the guards in the opening stages.
The path to the tower is rather straightforward. Just follow the path until you reach a Magicka Essence and Blood Fountain. There are no splits in the road, but be careful, as there are Daedra and traps along the way. Mind the Fire Towers especially; there are several huddled in one area, and together they can deal a fair amount of fire damage.
Once you reach the area Magicka Essence and Blood Fountain, look for a path leading south. Check your map to confirm that you are traveling south on the right path. Keep following this path and you will eventually reach the entrance to the tower dubbed 'The Fury Spike.' Head inside.
There are likely one or two Dremora in the opening area, so be cautious as you enter. When the bottom floor is clear, locate the door to the Rending Halls and head through. Once in the Rending Halls, locate and open the Citadel Hall Door, head up the ramp, clear this room of enemies, and then follow the eastern path. Continue following this path to reach the second level of the tower.
Fight your way to the top of the Fury Spike!
Clear out any Daedra in the area, and then head up the ramp to your left. Proceed through the door to the 'Corridors of Dark Salvation.' Upon entering this area, head up the ramp to your right and make your way up to the door to the third level of the tower. The Sigil Keeper is on this level; kill him and retrieve the Sigil Keep Key from his corpse. Proceed to the entrance of the 'Sigillum Sanguis' area; the Sigil Keep Key will unlock the door.
Fight your way up the ramp and to the very top of the tower. Take the Sigil Stone here to teleport out of there, closing the gate in the process. Burd and the guardsmen (dead or alive) will be teleported back outside with you. Speak to Burd, and then travel back to Cloud Ruler Temple. Once there, speak to Jauffre to complete the quest.