Oblivion knights have 180% cold resistance.
All -% resistance skills and modifiers only work 20% as effective (meaning the -% resistance is multiplied by 1/5) to immune monsters.
Just to bring down the oblivion knight's cold resistance down to 99%, you would need -405% to cold resistance.
Just by adding up infinity and level 60 cold mastery: -85% (infinity) + -315% (cold mastery) = -400% cold resistance (now the Oblivion Knight's 180% cold resistance has been lowered to 100%, which is still cold immune).
Getting level 60 cold mastery virtually impossible in diablo 2. And feasibly obtaining enough cold facets would probably not be enough either.
You'd probably need at least
-450% cold resistance to bring down the Oblivion Knight cold resistance down to 90%.
EVEN THEN, it would still take several frozen orbs or blizzards to kill it.