When you walk in to the arcane university in oblivion you automatically go back out y does that happen

In order to gain access in the Arcane University, you must first join the Mage's Guild and gain the recommendation of each of the guild's representatives.

Here's a good walk-through for the Mage's Guild, if you're interested:
http://www.gamebanshee.com/oblivion/magesguildquests.php