As mentioned previously, oats need to be
(a) gelatinized (cooked to break down the cell walls) and
(b) mashed.
First, you'll need to know a bit about the difference between "steeping" and "mashing" and learn a bit about the mashing process. There's a bit of science content here, but basically "steeping" is more like making a tea... it just extracts flavour (and sugar in some cases) from specialty malts. Mashing is a little more scientific than that -- by soaking malts for a long duration at a specific temperature, you allow naturally present enzymes to convert starches into fermentable sugar. It's probably easiest to watch a video that explains this process well like these two episodes in BobbyFromNJ's all grain brewing series:
Part 2
Part 3
Why is this important? Well, because oats have starches in them that should be converted into sugar in a mash before you add them to your beer, unless you want cloudy, starchy beer... Since neither the oats nor the specialty grains in your grainbill have enough enzymes (diastatic power) to handle this conversion, you should also add 1/2 pound or so of a base malt like 2-row. Then, instead of steeping your grains at an unspecified temperature for 30 minutes, you'll want to make a partial mash (sometimes referred to as "steep to convert" in recipe kits) that keeps the grains in a more specific temperature range for 45-60 minutes before straining and adding the liquid to your brew kettle.
It sounds kind of complicated, but once you get your head wrapped around the idea it's not much different from steeping specialty grains. There's a few more elements to consider when brewing with oats, but gelatinization and starch conversion are the big ones you should know about.
An excellent article about brewing with oats:
http://byo.com/stories/item/1189-oatmeal-stout-style
