Head out for Dawnstar however is easiest. I found that the burned out Hall of the Vigilant was the closest marker for me but if you've explored very little, you may have to take a wagon to Dawnstar from one of the other major cities.
Head out to Dimhollow Crypt. You'll have to make your way up a mountain to get there but there will be a path that you can follow if you get lost. Just look for the steps at various points and the stone pillars with flags attached.
Once inside, you'll hear a couple of vampires talking. You can sneak up on them if you like and try to kill the two. Make sure to watch for an accompanying Death Hound here. Loot the bodies if you like and then continue to follow the snow covered walkway along the wall. You'll see a doorway in the distance leading into a building. Go inside and up the stairs to find a pull chain. Pull that chain and you can see the gate open in the distance. Head back downstairs and make your way through that gate.
After going through the gate, follow the cave into a larger area with a stream. You'll be attacked by a small group of skeletons. Make your way up to the higher level above the stream and take a left. Along the wall will be another gate with a lever immediately next to it.
In the next room will be an alchemy lab if you need one. Exit the room through the doorway to your right when you are ready. When you come down the stairs, you'll come across a vampire fighting some skeletons. Kill both parties and then search along the North wall for a gate and pull chain. Behind that are some potions. Come out and take a right to find another similar door and chain. Open that and proceed into the large chamber with waterfalls. Kill the skeletons here and watch for the vampire above you.
Go up the ramp and you'll find a doorway that will lead to a narrow cavern. You'll be attacked by a couple of Doom Hounds and possibly some vampires. Make your way up and around the corner to the left. You'll find another vampire with two frostbite spider companions. If you kill the vampire the spiders should die. Continue past the vampire and you'll come to another larger room. There will be a gate directly ahead of you and just to the left of it will be a lever.
Open the gate and just through there will be a vampire with a Giant Frostbite Spider companion. Again, kill the vampire and the spider will go down with him. Just behind him is the door to the Dimhollow Caverns.
You'll be in a room with a balcony. The gate should already be open to the balcony but if not, pull the lever to the left. Go out onto the balcony and go right. This will lead you down to the lower levels. Below will be a body with an interesting book about the caverns. Read it if you'd like (completely optional) and then continue towards the structure in the center of the cavern.
As you approach the center structure, you'll have to contend with a couple of vampires and their thrall. Make use of the columns around here to protect you from their magic and then kill them. Once they are dead, head to the center of the circles and push the button in the middle to activate it.
This will cause purple light to appear from the circle immediately surrounding the button. There will be 6 Braziers scattered around the center. You can actually solve these in any order that you wish but the proper way of doing it is by going to the only Brazier with a trail of light leading to it and pushing the Brazier so that it's at the end point of the light. This will cause the trail of light to lead further along the circle. Move to the next brazier and do the same so that it creates a second circle around the center.
Go back to the center and a structure will rise up. A woman will fall out. You can say pretty much anything and it won't have an effect on which faction you join (just yet).