To JOIN The Dark Brotherhood you’ll have to do a miscellaneous quest first entitled “Talk to Aventus Arentino”. To GET that quest you need to first travel to the town of RIFTEN (any carriage can take you there), then as you enter the town a man maned Maul will stop you. You can talk to HIM about The Dark Brotherhood and he’ll mention a local young boy, Aventus Aretino, who ran away and is trying to get their attention.

You can also get this quest by hearing about young Aventus while in a town or tavern. It’s pretty hard NOT to get this quest, really…

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To find Aventus, head to the city of Windhelm. There follow the quest marker to find the Aretino Residence. Young Aventus is chanting the dark sacrament over and over: “Sweet mother, sweet mother, send your child unto me for the sins of the unworthy must be baptized in blood and fear.”

Ugh, how creepy! Talk to him and he’ll assume you’re a brotherhood assassin. This will complete that miscellaneous quest and start the quest “Innocence Lost”.