These add-ons are not compatible with the disc version of the game, so you will need to use the Steam version to access them. Like the disc release of Oblivion, the deluxe versions include the main game, Knights of the Nine, and Shivering Isles, but it also adds English versions of the Wizard’s Tower, Fighter’s Stronghold, Orrery, Thives’ Den, The Vile Lair, Mehrunes’ Razor, and Horse Armor.
For Oblivion, this means that the disc version of the game does not include the smaller add-ons (Horse Armor, Fighter’s Stronghold, Mehrunes’ Razor, etc)… more on that below.
To help answer questions, here's some general & support FAQs. This week (tomorrow in North America, Friday for the rest of the world) we're releasing The Elder Scrolls Anthology box set.