Once there, meet Gjalund Salt-Sage on the boat ‘ The Northern Maiden ‘ and ask him to take you to Solstheim. Check the bodies until you find orders that direct you to Windhelm’s docks. After the conversation, you will certainly be in combat with them. You should see cultists walking around, asking if you are the “ Dragonborn ”. Play the main story ‘ The Way of the Voice ‘ (where you climb the Gorge of the World) and then visit a big city.
