How do you enchant arrows in oblivion

You can't, unfortunately. One of the downsides to oblivion. You can loot enchanted arrows out of some marauder and bandit dungeons, but they cannot be enchanted by the player. With the official plug-ins, there are some merchants that sell restocking supplies of enchanted arrows. There may be a mod that allows the player to enchant arrows, but remember that mods are only available for the PC version.