Topic Title says it all. I downloaded the Complete Installation, along with the voice-over mods, and I still start in Oblivion, in the Imperial Dungeon (though I hear rather different music than usual).
First off, you should know I manually installed. My Oblivion folder is localed in C:/Users/Public/Games/Bethesda Softworks, and I installed everything into Data, except Oblivion Script Extender, which had special instructions. Meanwhile, Morrowind is installed in steamapps under Program Files, because I had to buy it through Steam (local Gamestop no longer carries it).
Should I reinstall? Is there a step I missed? I'm not using the Oblivion Shortcut. I'm using the OBSE_Loader.

You need one of the extra
You need one of the extra "transport" mods that take you to Vvardenfell otherwise you will always be in Cyrodiil with no access to the morrowind content (without commands), they can be found here:
morroblivion.com/forums/morroblivion/mods/2031
Just scroll down to "transport between worlds" and take your pick ;)