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When you attempt to rent the attic room from Delphine during the quest
The Horn of Jurgen Windcaller
, she'll invite you to meet with her in her room. When you follow her there, she'll ask you to close the door, and then she'll open a secret door in her wardrobe and descend into the basement.
Note: All of the items in Delphine's room and the basement are unowned, so you can take whatever you want without it being considered stealing.
In the basement, Delphine will tell you that dragons aren't just reappearing in the skies; they're actually coming back to life. She'll then inform you that she's figured out where the next one will appear -- somewhere near Kynesgrove to the east. Delphine won't know for sure if you're really dragonborn, but she'll decide that by facing a dragon with you, she'll learn the answer one way or the other.
When you reach Kynesgrove, a woman named Iddra will run up to you and tell you that a dragon just few over the town on its way to the old dragon mound to the east. When you reach the dragon mound, you'll witness the dragon Alduin raising the dragon Sahloknir from the dead, and then flying away. You and Delphine will then need to defeat Sahloknir.
Note: Alduin was the dragon that attacked Helgen Keep at the start of the game.
After the battle, Delphine will see you absorbing Sahloknir's soul, which will prove to her that you're dragonborn. She'll then reveal that she's a Blade, a warrior sworn to guide and protect the dragonborn, and she'll speculate that the Thalmor are the ones behind the dragon attacks. To test out her theory, she'll propose that you infiltrate the Thalmor Embassy, but she won't have a plan for how to get inside yet, and so she'll ask you to meet with her back in Riverwood in a few days' time.