The ships captain in windhelm will take you there right away. I have heard that you can only start the main quest there if you have gotten the horn of jorgen windcaller though.
I started it before getting the horn... I had the quest to go get it but I never went to the dungeon... --- Proud Black Hat and Engineer user. I unfortunately caused several topics about nukes in Black Ops II and made mine talk about STDs. Oppsies?