Depending on where you are starting in OK, and whether you truly wish to go through Denver, a number of routes are available.
Assuming Denver is a way-point for you, I recommend making your way to US 412, and heading west to Boise City, then north on US-287 to I-70 at Limon.
Once you are through with Denver, head north to I-80 as ASTravelers recommends.
I-70 west from Denver has some great scenery and all, but it also has heavy traffic, High, heavy climbs and can be more "interesting" than some would like. However a stop in Glenwood Springs for a day or two would make it worth the hassle. Then west to Green River Utah and follow US-6 into the Salt Lake Region.
If you want to avoid Denver Metro Area, and I-70 through the Mountains, At Limon, take C-71 North to Brush, and then US-34 to Greeley, then US-85 to Cheyenne.
I also like ASTravelers' suggestion for the Southern route, as well.