Help for Oblivion GOTY edition.

Okay so I bought Oblivion GOTY and noticed there wasn't another disk inside of the box unlike the 360 version which did.
So I just assumed that since this is a Blu-Ray disc they just put the extra DLC on the disk. Well I just exited the sewers and noticed I had no prompt for either Shivering Isles or Knights of the Nine.
Am I missing a disk or do I just need to keep playing and they should pop up?

you need to continue on playing for those to pop up

Shivering Isles will introduce a pop-up after a fixed amount of in-game time (not real time). I think it might be 24 hours or something. Knights of the Nine doesn't come up with a pop up, but instead is initiated by NPC's mentioning a prophet in Anvil when questioned about the latest rumours.

When the launcher comes up for the game if you click on data files it should tell you if all the dlc is installed or not

Just beware of some game breaking bugs on the ps3 version. That ain't on either the pc or xbox version, can't remember what is it was.  

yea the knights of the nine quest starts with the prophet in anvil  
 
and the shivering isles is that island with the head, 
 
also, i don't recall a pop-up on 360