Its on an Island in the bay outside of the Imperial City.

(See A Strange Door for more details).

The Shivering Isles portal can be found to the east of Bravil, on an island in the middle of Niben Bay.

I can't seem to get through. Whenever I try to enter, the voice tells me that I'm "unworthy." Am I supposed to finish the main storyline before I can access the DLC? 

I'm pretty sure you need to be level 5 or above to go through the door, otherwise it will say "This door is not yet open to you" Since this is happening to me at level 3, I think that's the case.

I know im late but the strange door does not appear to me

I haven't played Oblivion yet so I can't help too much, but are you sure the plug-in is installed? You apparently get a quest to visit the door if it is within a day ("A Door in Niben Bay").

thanks I am going to try it

I have oblivion and both dlc