To craft spells in The Elder Scrolls IV: Oblivion, you need to use an Altar of Spellmaking , which is a special crafting station available only in two locations:

• Arcane University in the Imperial City: You must join the Mages Guild, obtain recommendations from all seven major Guild Halls across Cyrodiil, and reach the rank of Apprentice to gain access to the Praxographical Center where the altars are located.
• Frostcrag Spire , a player home located east of Bruma: You can access it by climbing Gnoll Mountain and unlocking the door. To activate the Altar of Spellmaking here, you need to purchase a Magetallow Candle Box from the Mystic Emporium in the Imperial City Market District and use it on the altar inside Frostcrag Spire

Once you have access to an Altar of Spellmaking, you can create custom spells by combining magical effects you have learned or purchased. You can adjust parameters like range, magnitude, area, and duration, but more powerful spells will cost more gold and magicka to create and cast

. In summary, to craft spells in Oblivion, go to either the Arcane University after joining and advancing in the Mages Guild, or to Frostcrag Spire after unlocking and activating the altar with Magetallow Candles