After escaping with Rolaf, you can head to Windhelm and talk to Ulfric about joining who will send you Galmar. Galmar will give you this quest and send you to kill an Ice Wraith. Just head north. It's not a particularly difficult journey. Approach the island from the east to get onto it then make your way to the waypoint. That will be your wraith. Kill it and return to Galmar.