Comes with two .ess savefiles' and two .esp plugin's for mods and companions.
Extract both .ess file in the zip to "Documents and SettingsYour NameMy DocumentsMy GamesOblivionSaves"

I also recommend a save manager like Kyorisu's "Tes IV Save Manager", i use it all the time to test savegames.
http://tessource.net/files/file.php?id=2342
If you gonna use a save manager you have to create an additional directory in the "Saves" directory like "SavesAntonia Octavia" and put the lovely Antonia Octavia in there.

This tool is also mandatory stuff when working with savegames, plugins and facecopying.
I'm talking about Wrye Bash ofcourse, download it here.
http://wrye.ufrealms.net/