The Elder Scrolls IV: Oblivion Guide - Knights of the Nine
To get started, fast travel to Anvil and look for The Prophet across from the chapel on the west side of the city. Speak to him, and inquire about the attack on Anvil. You will learn that Umaril the Unfeathered, an Ayleid sorcerer, is the one responsible for the attack on the Chapel of Dibella in Anvil. To stop Umaril, some ancient relics must be collected. When the Prophet asks if you are a worthy knight select the 'No, I have no claim to fame' dialogue option, or any of the other negative responses. Though you may be eager to help, you must first complete a pilgrimage to the Wayshrines of the Divines. You must visit eight of the shrines to be deemed a knight worthy of undertaking such a quest.
Look for The Prophet across from the Chapel of Dibella in Anvil.
The Prophet has given you a map to aid you in your pilgrimage. You need only visit eight of the shrines on this map. It would be easiest to travel to them in a coherent order. Here is the proposed path: Arkay, Mara, Dibella, Akatosh, Julianos, Kynareth, Stendarr, Zenithar, and Talos. You can travel to the shrines in any order you please, but for the sake of following this walkthrough, go by the aforementioned order. Unfortunately no symbol will appear on your compass to denote these wayshrines, nor will an arrow appear on your compass.
Arkay - Head north from the Brina Cross Inn, which is right above the 'G' in 'The Gold Coast' text on the world map. The wayshrine is just east of the Bleak Mine.
Mara - Travel to the Cursed Mine west of Skingrad and head northwest from there. You won't have to travel very far before coming to the wayshrine.
Dibella - Travel to the North Country Stables outside of Chorrol and start heading southeast. You won't have to travel very far. As you come down a hill, you should be able to see the wayshrine.
Akatosh - This one is a bit difficult to get to. Take a look at your world map and note that he Orange Road is south of Bruma. Start from the Wildeye Stables east of Bruma and travel down 'The Silver Road' until you reach the split to the Orange Road. From the split, start travelling along the Orange Road, keeping an eye on the right side of the road. Once you reach the set of stone steps on the right side of the road, head up to spot the Wayshrine of Akatosh at the top. If you reach the 'd' in the 'The Orange Road' text on the world map, you've gone too far.
One of the Wayshrines you'll pray at during your pilgrimage.
Julianos - Take a look at the world map and note the fork in the road southeast of the Imperial City; one path leads to the Nibenay Valley, and the other leads to the Yellow Road. Travel to this fork and take the east road (the one to the Yellow Road). Keep an eye on your left as you travel along this road for The Wayshrine of Julianos. If you reach the Cracked Wood Cave, you have gone too far.
Kynareth - Getting to this one is quite a trek. The wayshrine is practically sitting on the 's' in the 'The Nibenay Basin' text on the world map (east of the Imperial City). If you have uncovered any locations near there on the world map, fast travel and start walking.
Zenithar - Start from the Bay Roan Stables outside of Bravil. Travel north along the road leaving Bravil. You will soon see the Wayshrine of Zenithar up ahead.
Stendarr - Travel to the Five Riders Inn outside of the Leyawiin West Gate. Follow the west road leaving Leyawiin. It may be quite a long walk, but eventually when the road curves east, you will be able to see The Wayshrine of Stendarr ahead of you. Can't miss it. Alternatively, if you've uncovered Sheogorath's Shrine, the wayshrine is just a short walk east of there.
Talos - Just below the 'i' in the 'Nibenay Valley' text on the world map (south of the Imperial City).
Pray at all nine shrines to reduce your character's infamy to zero.
Once you have prayed to all nine wayshrines, you will receive a vision from the Divine Crusader. If you're afraid of heights, don't look down!