The oboe sounds like this:
The oboe is a member of the woodwind family, and within that family is the smallest of the double reed instruments. These are the instruments whose sound comes from the vibration of air passing through two reeds bound together. The oboe has a very distinctive sound, and is played in both the band and the orchestra.
Professional players will often make their own reeds by hand, and wear them out after only a short time. However, students buy manufactured reeds, which will last quite some time if you take good care of them.
Here's an introduction to the oboe: