How do I create a new World Space?
This is relying on the fact that you choose to use existing climates and weather to construct a very simple world space.
Step 1 Select World Spaces from the World menu.
Step 2 Right click in the list of world spaces and select new, supplying an unused reference id when prompted (Ex. MyTestWorld).
Step 3 Fill in the name of the world space (as viewable by player Ex. New World).
Step 4 Fill in the parent world space if necessary (Ex. Tamriel) or you can just leave it at NONE - This will set the landscape of the world space.
Step 5 Select from various options at bottom according to what you want (fast travel and such).
Step 6 Hit OK and your world space should be added. To see it use the dropdown menu in the Cell editor and select it by its reference ID.
Other Features/Options:
Music: The general music for your world space. It will be used if the cell doesn't have any music set.
Map Data: If you want to include a navigation map (like the one you use to fast travel).
The file to the navigation map usually is the C:\Program Files\Bethesda Softworks\Oblivion\Data\Textures\Menus\Map\world.dds file.
Usable Dimensions: Outer bounds of the map that the player can go to.
Cell Coordinates: Allows you to set the usable dimensions based on cells you have created.
For a detailed tutorial on how to make a World Space, go to World Space Tutorial