You need to complete Azura's Daedric quest, picked up at the Shrine of Azura, to get Azura's Star in Oblivion. You can find this shrine just north of Cheydinhal - talk to Mels Maryon when you're ...

To interact with Azura's shrine, you'll need to have one Glow Dust with you. You will also need to interact with it at either dawn or dusk, which are 5 AM to 7 AM, or 5 PM to 7 PM, respectively.