Jewelry should follow through right after the taper goes in, tapers should not be worn as jewelry. If the jewelry isn't fitting you either are trying to put in improper jewelry or it's because you skipped a size...the tapers should go right through with no problem, there should be no pain or pressure.
The Elder Scrolls IV: Oblivion takes place in Cyrodiil, the province in the center of Tamriel. The player is able to choose from 10 races at the beginning of the game. The player can customize them in many ways, including age, appearance, complexion, and even eye color (for certain races).
EditI died, but that was only the beginning... Soul Shriven in Coldharbour is the first quest in the game and it introduces you to the main story arc. You will automatically begin it after completing the character creation process. You begin in the Wailing Prison in Molag Bal's Plane of Oblivion.