You get Oil from the Oil Field, which is here:
You need to have free space in your Warehouse before you can send your ships to the Oil Field. Also, you must send a 2-anchor Steamship or a 3-anchor Motor Vessel (MV) - the Oil Field will not allow you to use a 1-anchor ship.
When you have collected Oil, it will be stored in your Warehouse. You can convert it to Fuel using the Workshop building; you will also need Wood, which you should have already.