Access task manager with ctrl alt delete and shut down the process. Or hold the power button to force shut down your pc

Open Task Manager and make sure 'always on top' is checked in the options section. If the game freezes in the future but is still responding you will be able to access task manager with ctrl alt delete. If that isn't checked and software stops responding it's likely you can't get to task manager so the only option is a hard reboot. It's very rare for Oblivion to cause a complete lockup of the system but it was notorious for freezing on exit or taking a very long time to close. There are mods that speed up the time it takes to close the game from the main menu so if you're waiting for up to a minute while the game closes they are useful but it's just as quick to use the console command qqq. The fast exit mods use the same command and it closes the game in seconds. Something to do with killing all the running processes simultaneously instead of individually.

Originally posted by Djul_Dhani:

... I can't shut my laptop by pushing power button ...

It's better not to do it, but if necessary, you may have to press the button for a few seconds.

The game ends by itself. After about 45-60 minutes of play it gets stuck and freezes or goes straight to windows and shuts down. Where to look for the cause?