If you go to Windhelm and talk to NPC's, many of them will mention a very troubled boy named Aventus Aretino whose mother died recently. At some point, you have the opportunity to talk to a mother near his house who tells you that Aventus has been trying to contact the Dark Brotherhood.
Once you have found out where he lives and that he is trying to contact the Dark Brotherhood, then you should break into his house. This is quite easy to do since there is normally nobody outside and it is a novice lock level.
Go upstairs and talk to Aventus. He will tell you that his mother died and he was sent to an orphanage called the Honorhall Orphanage in Riften. He will tell you about how he escaped and then performed the ritual to call an assassin from the Dark Brotherhood. He will tell you about Grelod the Kind who runs the orphanage and is terrible to all the kids there. He believes that you are a Dark Brotherhood assassin who has come to answer his call, so he asks you to kill Grelod the Kind for him.
At this point, your quest log gets a quest called Innocence Lost added to it and updated with the objective to kill Grelod the Kind.
Travel to Riften and find the orphanage. Once you get there, you will witness a scene of Grelod threatening the kids. If you talk to any of the kids or the other woman at the orphanage, they all say that Grelod is aweful and that the "kind" title is a sarcastic slight against her. You can talk to Grelod, but it is quite a short conversation which ends with her simply ignoring you. You can then kill her which updates your quest log with the objective to go back and talk to Aventus.
When you talk to Aventus, he is incredibly pleased and rewards you with a family heirloom. This successfully concludes this quest.At some time later, a stranger will approach you with a letter that has a hand print and a line saying "We know." He does not know where it came from or anything else about it. Once you receive this letter, the next time you sleep, you will wake up in an unfamiliar location and will be greeted by a masked woman from the Dark Brotherhood.
