How do you beat The Elder Scrolls IV Oblivion

You don't really 'beat' the game. You have options. Besides the numerous side-quests and optional missions, the 'main quest' is to return the Amulet of Kings to the heir of the emperor and stop the Oblivion Gates from overunning Cyrodill by defeating Mehrunes Dagon, ensuring that the gates are sealed for good..

But that's just the main storyline. The side-quests are enough for three more games- but it is indeed a free-roam game. You will never get a big screen that says 'THE END' and takes you back to the main menu. You will simply go on forever, if you so choose.