Blessing of Talos

If "The Faithful Squire" isn't the shortest quest, this one has to be. The Prophet has come to the Priory of the Nine. You'll find him in the Chapel, preaching to the other Knights. Talk to him when he's done.

Pelinal Whitestrake's problem was that Umaril is part Daedra. When he died, his spirit went to Oblivion, where he eventually revived. In order to truly defeat him, you need to destroy him both in the physical realm and in Oblivion. To accomplish this, you need something Whitestrake didn't have: the Blessing of Talos. Since Whitestrake lived and died long before the time of Tiber Septim's apotheosis ("achieving godhood" for those frantically searching for a dictionary), he was the Crusader of the Eight. You are going to fight Umaril as the Crusader of the Nine, so you need Talos' help.

The Blessing of Talos will allow you to follow Umaril to Oblivion after you defeat his physical form so that you can destroy his spirit form, too. In real life it's just a good buffing spell, but what the heck. It makes for a good story.

So how do you get this blessing? You just did by talking to The Prophet. Now you need to go to Garlas Malatar and fight Umaril.

Everyone who is going to ask to join the Knights of the Nine should now be at the Priory, although I've occasionally had a couple of stragglers come in after the questline was completed. Sir Thedret is the only NPC that will automatically join the Knights of the Nine. For the rest, you have to accept them in to the order and there is no penalty for telling them that they aren't worthy yet. When you return to the Priory after fighting Umaril, it's Sir Thedret's dialogue that ends the Knights of the Nine questline, so he's essential until he can do that.

That being said, after you finish talking to the Prophet, everyone who is a Knight of the Nine will depart and head for Garlas Malatar. The more Knights you take, the less fighting you'll have to do. But the more you take, the greater the chance that one or more of them won't be coming back. Your game, your character, your call.