Where the old woman lived in Oxford (4)
I believe the answer is:
shoe
This clue is a double definition.
'where the old woman lived' is the first definition.
(I've seen this in another clue)
'oxford' is the second definition.
(I've seen this in another clue)
'in' is the link.
(Other definitions for shoe that I've seen before include "Trainer, for instance" , "Covering for foot" , "Slip-on or lace-up?" , "this goes about a foot" , "Flash socket on camera" .)