You cannot win a game of chess with just a knight because one knight alone cannot block all the king’s escape routes and checkmate him. If there are other pieces on the board that restrict the king’s movement, then a checkmate, and therefore a win, is possible with just the knight.
You can’t use the Sicilian Defense against the Queen’s Gambit because the Sicilian Defense is a response to the move e4. That’s a king pawn move, which is not part of the Queen’s Gambit. However, there is a similar line of defense known as the Benoni Defense which you could incorporate into fending off the Queen’s Gambit.