Upon returning to the Dark Brotherhood headquarters after completing the quest Breaching Security, Astrid informs you that while you were away, Cicero went crazy and tried to kill everyone before fleeing.
Astrid tells you to search Cicero’s chamber for clues. On a table next to his bed is the final volume of Cicero’s Journal (all the previous volumes are sitting on nearby elevated surfaces). Read the final volume and it will provide you with the password and location of an older, now unused Dark Brotherhood headquarters near Dawnstar.
When you go and tell Astrid of your findings, she will instruct you to go to the place mentioned in the journal, find Cicero, and kill him. She will also give you her horse, Shadowmere, to help get you there as quickly as possible.
Travel to Dawnstar, make your way to the location of the abandoned headquarters, and you will find your fellow Brotherhood assassin Arnbjorn sitting injured on the ground outside. He explains that his injuries were sustained during a fight with Cicero, but that he also managed to seriously injure him, and you can “follow the blood” to track him.
Suggest to Arnbjorn that he returns to the main headquarters, and enter the abandoned headquarters to pursue Cicero. To correctly answer the door and gain entry, respond with the phrase “innocence, my brother.” Follow the trail of blood through the complex, dodging the traps and fighting the spectral assassins and a frost troll. You’ll find a couple of skill books on the table in the map room, just past the first hanging bridge.
You will eventually find Cicero lying on the ground injured. He asks that you spare his life and return to headquarters and tell Astrid that you killed him. If you decide to let him live, there is no effect on the outcome of the quest or the attitudes of your fellow Brotherhood members towards you, and you will receive the quest Cicero’s Return later on. Be warned that if you do decide to kill him, he will get up and fight for his life, and his clownish demeanour belies his fighting abilities.
Go back to the main headquarters and tell Astrid that you killed Cicero, whether you did or not. She thanks you and lets you hang on to her horse.