I have created a character with the noble background but I was trying to make them have the Knight Feature, do I need an specific book or an ad on??

You need to choose the Knight background instead.

I what book is the knight background?? I do not believe I own it as that option does not show up for me.

PHB apparently. Yeah, the knight variant of noble isn't in the free rules.

You can also use it if your character is in a campaign with content sharing enabled and someone else already bought it.

Thank you, I got the book and now I am able to use the Knight background.