First, it's not "player.SetStage" but just "SetStages". Quest stages are global, rather than dependent on an actor.
You should open Nehrim.esm in the CS in order to find out the stages. Either move the CS into the Nehrim directory (including the DLL files required - it will ask you for these files if you don't move them, so you will know which files it wants), or copy the Nehrim.esm into your Oblivion directory.