'Oblivion - Textures - Compressed.bsa' is a file not a folder, you dont need to touch that. a folder is what it sits in, in this case the Data folder.
if this texture mod is '1116-Landscape LOD Texture Replacement-TESSource.zip', place that .zip in the data folder, right click the .zip and select 'extract to here' and it will make all the folders and place the files in the correct places.
most should work like that, but some people archive their mods in a data folder and in which case extracting from within the games data folder will result in another data folder.. i.e. data/data/textures such an achive would need to be extracted from the oblivion folder.
my bro's over today and i have some things to do first so i won't be about 'till the late evening. if the zip file is not the one i've mentioned, post the link to where you got it from just so people can advise on installing that specific archive..