Columbus is not a saint, and I am not aware of a viable cause for his canonization, so careful with that
You would start in the First Degree, with a short First Degree ceremony. Ceremonies are held in secret, with only initiated members allowed as guests. First Degree members are able to attend regular business meetings, usually held monthly in your Council. Business meetings are confidential and restricted to members only, but are not secret like the ceremonials. Membership in the Knights is not secret. We are not a secret society.
When you feel ready, you can progress to the Second and Third Degrees. There is no waiting period required for this, just approval of your Council. Sometimes, the Second and Third Degrees are held in a joint ceremony on the same day. Sometimes they are separate. Third Degree is longer than the ones before it. As a Third Degree member, you can hold an officer position in your Council. You can even be Grand Knight if you choose. You can attend State Conventions as a delegate. A Third Degree Knight is fully initiated in the Council.
Six months or more after your First Degree, you may continue to the Fourth Degree. This is the Degree of Patriotism. The Fourth Degree ceremony is a grand, all-day affair, and includes a celebratory meal with your wife and family, if you have them. With the Fourth Degree come new rights and responsibilities. Fourth Degree Knights are organized in a parallel structure known as the Assembly. You will attend more business meetings in the month, and you can be an officer in the Assembly. The head of the Assembly is the Faithful Navigator. As a Fourth Degree Knight, you must own or rent a tuxedo appropriate for the Degree ceremony, and special occasions. You can optionally join the Color Corps, and wear the Regalia with your tuxedo. Some choose to purchase their own regalia from approved channels; sometimes, lightly used regalia is available to borrow or own second-hand.
The Fourth Degree is highly recommended, but it is an optional part of the experience, and I have chosen to remain in the Third Degree for four years now.