Assuming you are talking about The Elder Scrolls IV: Oblivion, here are some tips on how to get the most out of running in the game:
First off, make sure your character is in good shape. This means having a high Endurance stat and being well-rested. If you're constantly exhausted, you're not going to be able to run very far or very fast. You can increase your Endurance by sleeping often and eating foods that restore health and stamina.
Secondly, invest in some good boots. There are many different types of footwear in Oblivion, but not all of them are created equal when it comes to running. Some shoes will actually decrease your speed, so it's important to choose wisely. One of the best pairs of boots for running can be found in the Cheydinhal Fighters Guild; they're called Boots of Springheel Jak and they'll give you a significant boost to your speed.
Finally, practice makes perfect! The more you run around in Oblivion, the better you'll get at it. If you find yourself getting winded easily, take some time to explore the world and build up your stamina before trying to sprint long distances again. With a little bit of effort, you should be able to master the art of running in no time!