Why wasn't there any oxygen in the beginning of the earth?

A complete answer gets long and above my pay-grade, but when the earth and solar system were young, it's unlikely that the Earth had much atmosphere at all. The young sun was hot enough to burn off most gases and ices in the inner solar-system and when the earth coalesced it was largely metals and silicates. The oceans and atmosphere came later by comet and asteroid belt impacts, and, as Jeff Y points out, after that it's just heat and chemistry. Oxygen or O2 binds so easily with other molecules, like Methane or Hydrogen or Iron that it goes away pretty quickly until those are used up.

Like O2, N2 wasn't nearly as present in the young atmosphere as it is today either. More on that here: http://sciexplorer.blogspot.com/2012/01/earths-atmosphere-part-4-evolution-of.html The four most common early ices/gases on earth were CH4, CO2, H2O and NH3. Over time, the NH3 and CH4 get used up by bacteria or chemical processes, lightning, volcanoes, UV light from the sun, etc. The H20 and CO2 are much more stable, though photosynthesis did slowly pull most of the CO2 from the atmosphere, returning O2.