I talked my friend into getting oblivion game of the year edition so he did. and the main cd works great but when he puts in his other cd to get the shivering and knights of nine it works(well kinda) anyway when it says download complete (it worked) But he goes to try out he new shivering isl no messsage popes up saying i stange door has appeared and all even went to where the door is its self and its not there? we have tryed many times with the cd and it does no work even with knights of the nine? is it something to do with his xbox 360 hard drive or maybe the cd its self(i downloaded them from xbox live so could anyone help out with this?

Might need a game update before the dlc will show up.

He has to wait about 24 hours for that message to appear. Have you waited that long? And you activate KOTN by either going to Anvil near the chapel and talking to the crazy yelling guy, or talking to priests at a chapel or mages' guild members.