Delphine believes the Thalmor are behind the current situation with the dragons in Skyrim, and she’s devised a plan to find proof of their involvement and discover what their plans are. She needs you to infiltrate the Thalmor’s embassy in Skyrim, located in the city of Solitude, and search for any documents containing useful information.
Delphine has procured for you an invitation to a party taking place at the embassy. You won’t be able to enter the embassy as an armed warrior; you’ll have to go in unarmed and well dressed. You will however be able to smuggle in any weapons and other equipment that you think you’ll need once you’re inside and away from the party.
Delphine has a contact at the embassy; a Wood Elf named Melborn. Travel to Solitude and meet him at The Winging Skeever, making sure to bring with you all of the equipment you want smuggled into the embassy to give to him. What you should have smuggled in will depend on whether you plan to use brute force or more stealthy tactics to get past security in the restricted areas of the embassy.
Following the meeting with Malborn, rendezvous with Delphine at the stables outside the city. She will give you some suitable clothes to wear to the embassy party. When you tell her you’re ready to go, Delphine will take all of the items in your inventory to hold until you return, and you will automatically board a carriage to the embassy.
Once you arrive outside the embassy, show the guard the invitation you were given by Delphine and head inside to be greeted by a Thalmor emissary named Elenwen. You can take as much time as you want to converse with the party guests before you proceed to the next stage of the mission. Depending on your travels and exploits to date, you may recognize several of them from elsewhere in Skyrim, and their dialogue will match accordingly. In order to slip away from the party you will need to create a distraction to divert the attention of the guards in the room. There are four ways you can do this:
1) Order a drink from either Brelas or Malborn, and offer it to the drunkard seated on a bench to the left of the entrance.
2) Talk to Erikur. Afterwards he will hit on Brelas. Offer to talk to her for Erikur, and then do so. Go back to Erikur, and either response will cause him to make a scene, with Brelas carted away to the dungeons.
3) If you have met Jarl Idgrod Ravencrone of Morthal, and completed her quest, she will offer to be a distraction, and start a verbal argument with the man sitting on the bench, allowing you to move on.
4) Ask Ondolemar to cause a distraction with the man sitting on the bench (this option might only be available if you have met with him previously in the Understone Keep in Markarth).
The instant no one’s looking, go behind the bar and follow Malborn through the door. He will lead you to a chest containing the belongings you gave to him to smuggle in. When you’re ready, leave the room through the next door that Malborn opens, which he will lock behind you once you’re through.
You must now locate and retrieve any documents with information on dragons. You can approach this using stealth and without anyone knowing you’re there, or you can just kill anyone who stands in your way.
Proceed through the door on the left – you can either wait until the soldiers finish their conversation and move away, or kill them. Once inside, ascend the staircase. A Thalmor Wizard will be standing guard ahead, facing the wall. Sneak behind him or kill him. Head left down the hallway, and left again to find a door leading outside. There are several guards patrolling outside who can be evaded easily enough, but a wizard stands guard at the door to Elenwen’s solar and will not move away without a reason. Either create a distraction to move him away and quickly dash in, or kill him.
Inside the solar, there is a Thalmor soldier immediately ahead, who will head upstairs. Move to the left side of the room and search the chest behind the desk. Grab the dragon report, and the two dossiers. Make sure to grab the Stone of Barenziah upstairs in the bedroom to the left, as this is the only chance you will have in the game to grab this particular stone and complete the related quest.
Go down the nearby stairs to the interrogation chamber. A Thalmor named Rulindil and a soldier will be torturing a prisoner, Etienne Rarnis, in one of the cells. You can either sneak behind Rulindil, grab the dossier and sneak into the cell or kill both him and the soldier. Either way, you will need to speak to the prisoner, who says you can escape via a locked trapdoor. You can set him free if you want to. If you caused Brelas to get arrested earlier to create a distraction, she will be in the cell at the far end, and can be freed as well. She will assist you in taking out any further guards you encounter before escaping.
Once the prisoner has been spoken to, two soldiers will enter the room with Malborn, whom they have now realized is a spy, and begin to search for you. Either pickpocket the key to the trapdoor from whichever of them has it, or kill them both and loot it. If you are inactive too long, they will kill Malborn. Once you have the key, escape through the trapdoor.
There is a troll inside the tunnel, who will also attack the prisoners, but you can simply run for the exit to avoid it if you want. There is a necromancer’s body and a Conjuration skill book beneath the ledge that you walk out on as you exit the tunnel. Return to Delphine in Riverwood to show her the documents you have obtained.