Installing a graphics card is probably a good idea as it will perform a lot better than integrated graphics. It's worth thinking about the resolution you want to play the game at (i.e. your monitor's native resolution). Then look at some sites like hardocp, tomshardware or searching google for some benchmarks of graphics cards running oblivion. http://howtoinstallagraphicscard.blogspot.com/ is a site that offers some basic advice on picking a graphics card and installing a new graphics card if that's any help.
Be aware that as a pre-built system the power supply of your dell is unlikely to be able to provide much more power than is necessary for your current components. I am not sure if the PSU will be labelled with its rating (in watts) but if you can check this and compare to total power usage in reviews of graphics cards.
Hope that helps!
I recently bought Oblivion GOTY, and began playing. However, upon trying to enter the sewers, the game stops working. I have come to the conclusion that I need to install a graphics card (I currently only have integrated graphics). I am looking for the cheapest way to upgrade my system in order to play Oblivion - I am not looking at playing any other games on this system.
Dell Inspirion 530
Intel Core 2 Duo E4400
3GB DDR2 RAM