You cannot uninstall Knights of the Nine separately on Xbox 360. It is baked into the Oblivion game data—there is no "DLC management" menu for individual expansions on 360.
If you just want to avoid the "Prophet" questline popping up immediately: ignore the "Anvil" rumor. It won't auto-start until you sleep or wait 24h in-game. You can play 99% of Oblivion without touching KotN content.