How to Close the Oblivion Gate in The Elder Scrolls IV: Oblivion

Enter the Gate. Press the 'Activate' button once looking at it. You should be transported right there. You should be in an Oblivion realm. All realms are different, but you probably want to know how to close the Kvatch one. If you don't, then this guide still applies, it may just require skipping some steps.

Wait for a guard to run up to you. You can either make him follow you, or send him back to Kvatch. If you make him stay, he will most likely die quickly, especially at higher levels. If you send him back, he will help in the optional side quest 'Breaking the Siege of Kvatch.' The choice is up to you.

Move along the path. Every gate has a large tower. They're all called different things, but the Kvatch one is called 'The Blood Feast'. The gates seem non-linear, but it's an illusion. There's really just one path that you can take. Follow it, fighting leveled creatures and taking loot from the fleshy pods (if you're in Kvatch). In Kvatch, you should end up in a relatively open plane after this. The tower is in sight. Walk up to the door and go inside.

Defeat the Daedra inside, and proceed to one of the rooms in the doors. The towers are mazes, but try to avoid going downwards; the aim is to get to the top of the tower.

Find the door to go outside. In one of the rooms, you'll find a door to your direct left leading outside (direct left meaning that you may need to backtrack to avoid walls). You're on a long bridge. Run across.

Enter a second tower. Head up the ramp to find a man locked up. He tells you to kill the Daedra guarding him for the key to the sigil keep. Do so.

Use the key you get. You should have noticed that some doors were locked, as they required a sigil key. You have the keys now, so run across the bridge to the main tower. Unlock the door, and continue heading up like before, battling through the rooms.

Find a door leading to the Sigillum Sanguis. Head inside, with the key. You're nearly there! Follow the path until a large room.

Make your way up the bone-like staircase, and the red ramps. You should see a large, fiery ball. This is the sigil stone, and it keeps the gate open.

Take it by activating it. After a little while, you will be returned safely into the real world. You have closed the gate!