**The Return of the King Extended Edition**

[The Saucepan Man]

... is it in the Council of Elrond or unfinished tales or what?

It is in one of the Appendices. I haven't got the book to hand, but it's the section dealing with the final defeat of the Witch King of Angmar at the Battle of Fornost. The prophecy was made by Glorfindel, as he held Earnur back from following the retreating Witch King.

I don't think that it is made clear whether the Witch King was aware of the prophecy or whether he was simply displaying his arrogance at the Battle of Pelennor Fields. Although the fact that he shows sudden doubt when Eowyn reveals her true identity might suggest that he was aware of it.

In any event, it might be said that Glorfindel's prophecy is irrelevant for the purposes of the film, since it is never mentioned. We only have the Witch King's declaration that no living man may hinder him. And that, I suppose, could be interpreted as indicating that he is impervious to any man (including, on the basis of your reasoning, Gandalf).