Head to Snow Veil Sanctum with Mercer, NE of Windhelm. When you get to the front door, you need to wait for Mercer to open the door for you. Inside you'll find a variety of Drugrs and traps so be careful where you walk. The first gate you come to is a small alcove just to the left of the gate. Move through a multileveled room and kill the enemies there.
After that, you'll come to another ring decoding puzzle but Mercer will open that. When you go through the double doors, you'll find Karliah. You'll have some nasty things happen to you and when you wake up, you'll be sent to Winterhold.
