The first thing you will want to do is go to Windhelm, before you walk into the gates there should be some guards don't activate them but let them talk to you. They will say there is this little boy trying to summon the dark brotherhood. Go to him and he will think you are one of the members of the dark brotherhood and will ask you to kill the owner of the orphanage in Riften. Once you kill her go back to the boy and tell him, once the quest is over go to sleep, some places you sleep at will not work like an inn. Try sleeping in your house or sometimes there is a bed at the gates of Riverwood. The leader of the dark brotherhood will capture you and will ask you to kill a person in the same room you are in. Do that and your in.
This part is for the people that have already discoverd Windhelm and don't know where to go. The first thing you want to do is walk through the gates and turn right. Look to your left (still walking) till you you see this alley and a boy and girl will be there. Right before you get to them there will be a door to your left, you are gointo need to break in so bring a couple lockpicks.
This part is for the people that have already discoverd Windhelm and don't know where to go. The first thing you want to do is walk through the gates and turn right. Look to your left (still walking) till you you see this alley and a boy and girl will be there. Right before you get to them there will be a door to your left, you are gointo need to break in so bring a couple lockpicks.