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Right click the game in your Steam library, hit Properties, and check the DLC tab. The Deluxe verion puts a "Oblivion Game of the Year DLC" entry there - make sure the Install box is ticked. If it wasn't, you'll need to wait for the download after checking it.
(If you don't see anything in that tab, then you don't own Deluxe! Note that the store page will tell you that you do even if it isn't the case - this is because Deluxe is actually just the regular GotY version with additional DLC.)
After that's sorted, open the game's launcher and click Data Files. Make sure that Knights.esp is checked, as well as anything with "DLC" in its title.
You need GotY Deluxe to get all the DLCs.
Your screenshot is of the store page. As I've already mentioned, the store page incorrectly tells all GotY owners they have Deluxe. But it doesn't matter what the store tells you - if you can't find the DLC tab in the game's Properties panel, then you do not have Deluxe!
The email you were sent when you registered the game will correctly confirm the version you have (if it doesn't mention Deluxe: then you don't have Deluxe). You can also check your full Steam registration history through this link (use Ctrl+F to search for "Oblivion", see if it mentions Deluxe there).
However, the basic GotY edition does still include Shivering Isles and Knights of the Nine. These two expansions are not optional "DLC" installs like the Deluxe extras are, but rather they're always installed alongside GotY.
If you think you're missing Shivering Isles, or Knights of the Nine, check the Data Files option in the game's launcher window. The game won't load the expansions unless they're ticked there.
Nor do you have to type their names in anywhere. The Data Files window will list them all out for you, you just need to make sure the check boxes next to them are marked by clicking on them.
But FWIW, SI is DLCShiveringIsles.esp, and KotN is Knights.esp.