Talk to Mercer who will send you to Solitude to talk to Gulum-Ei. You can try and persuade him or you can do a favor for him. He will send you to get some Wine from the Blue Palace. The Wine is actually just sitting in the front room of the Palace so grab it without alerting anybody and head back to Gulum-Ei.
After your chat with Gulum-Ei, follow him out of the tavern. Keep a good distance so as not to notice him and he will lead you to the East Empire Company Warehouse. Be careful inside because there are mercenaries patrolling inside. Keep tailing the Argonian down into the caves. Watch out for traps and Bandits. The Bandits can be killed if necessary. At the end of the cave, talk to Gulum-Ei again. This time you will get what you need. Return to talk to Mercer.