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Soon after completing the quest
Innocence Lost, a courier will approach you and tell you that a "creepy fella" in a black robe gave him a message for you. He'll then hand you a
Mysterious Note, which will read, "We know." After receiving the note, the next time you go to sleep you'll trigger the quest.
When you wake up, you'll find yourself locked in an Abandoned Shack, with somebody named Astrid sitting on a bookshelf looking down on you. Astrid will inform you that you stole the kill of Grelod from the Dark Brotherhood, and that now you'll have to make it up to them by killing someone else. She'll then point out the three prisoners in the room, and she'll explain that the Dark Brotherhood has been contracted to kill one of them. All you'll have to do is figure out which one and then complete the job. There are two ways you can respond.
If you don't want to join the Dark Brotherhood, then you can attack Astrid. She'll drop the
Blade of Woe,
Shrouded Boots, a
Shrouded Gloves, and an
Abandoned Shack Key when she dies. The key will allow you to escape the shack. You can also free the three prisoners if you want, but this won't affect anything.
Killing Astrid will cause you to fail the quest, but you'll immediately trigger the quest
Destroy the Dark Brotherhood! to replace it.
Pick a Victim
You can question the three prisoners -- Fultheim the Fearless, Alea Quintus, and Vasha -- but they won't tell you a whole lot, even if you pass the persuade and intimidate checks. So you'll just have to pick one to murder -- or all three, if you're feeling like an "overachiever." Astrid won't care who you kill as long as you follow orders, and afterwards she'll give you the
Abandoned Shack Key, which will allow you to leave the shack. She'll also invite you to join the Dark Brotherhood, and she'll tell you that the pass phrase to enter their sanctuary is "Silence, my brother."
You'll find the Dark Brotherhood Sanctuary located in the southwestern part of Skyrim, near Falkreath. When you enter the sanctuary, you'll meet up with Astrid again, and she'll welcome you into the Family. She'll also give you a full set of Dark Brotherhood gear --
Shrouded Boots, a
Shrouded Cowl, and
Shrouded Gloves -- and she'll direct you to Nazir for your first (official) contract.
Note: Once you leave the Abandoned Shack, you'll no longer be able to kill Astrid or any other Dark Brotherhood assassin. So if you want to eliminate the Dark Brotherhood, you should attack Astrid when you first encounter her.