Oblivion - How begin the Knights of the Nine expansion questline

The Knights of the Nine expansion for Oblivion tasks you with collecting the weapons and armor of Pelinal Whitestrake, powerful relics of the Divines, to defeat the menacing Umaril. This expansion is one of two that were released for Oblivion, the other being The Shivering Isles. This questline is available to begin as soon as you leave the tutorial and this guide will tell you how to get it going. The rewards for completing Knights of the Nine include some of the best gear available in the game, so if you are planning for your character to be heavy armor and weapon focused, its worthwhile to complete sooner rather than later.

When you are ready to begin Knights of the Nine, head to the Anvil in the western Cyrodiil. 

Inside the main gate, you will see a large chapel nearby; head there.

Across from the chapel, you will see a strange man, the Prophet, speaking. Talk to him.

Progress through his dialogue, telling him you will find the Relics. This will add the quest "Pilgrimage" to your log, and a map to the various Wayshrines you will need to go and pray at. Beginning your quest for the Knights of the Nine.