That spell can only be used in the Shivering Isles. image - Apotheosis of a Mad God mod for Elder Scrolls IV: Oblivion

After claiming the throne of madness, a quest journal will pop up commenting on your advancement towards godhood. You will receive three lore-friendly spells as soon as you load your save file: Intangibility, Physical Form and Daedric Weakness. Consider this the ultimate endgame reward the devs never added upon finishing the SI expansion.