First, install the game itself.

It's recommended when running Windows 7 that you install the game to a folder other than Program Files (I install Oblivion to C:\Bethesda Softworks). After that, put your Knights of the Nine disc into your drive tray. Windows should automatically open a folder with several .exe files inside, one .exe file for each DLC.
Double-click on an .exe file. When you do, you'll see a User Account Control Box. This box will ask you "Do you want to allow the following program from an unknown publisher to make changes to this computer?" Click 'Yes.' Now a License Agreement box will open. Click on the button next to "I accept the terms of the licence agreement" and then click 'Next.' Click on the 'Install' button. When it has finsihed installing, click on the 'Finish' button. Repeat these steps for each of the DLC you would like to install.
You should be ready to go. But to double-check, click on the OblivionLauncher.exe and then click on 'Data Files.' All of the DLC you just installed should have an X next to their names. That means you are ready to play. If any of them do not have an X next to their name, click on each box to put an X there. And play!