New main objective: Meet Malborn in Solitude
Head out of the inn and open the world map. Solitude can be found in the northern part of Skyrim (screen above) and if you have already been there, you can use fast travel. Otherwise, you will have to plan a journey there. The best solution is using the carriage in one of the big cities, for example Whiterun Stable, all the more considering that it doesn't cost that much.
IF you want to reach Solitude on your own, you should begin beside Ustengrav, by the temple explored during one of the previous quests. Head north-west, crossing the partially frozen marshes. Of course be careful, as you can come across quite strong monsters there. The fact that Solitude can only be reached from the western side (screen above) might be a difficulty, as you will have to choose the correct part leading to the objective.
After reaching Solitude, head to the Winking Skeever (screen above) found nearby the main gate. Inside the inn, find Malborn, who should be sitting beside one of the tables and talk with him.
New main objective: Give Malborn the equipment
Malborn will confirm that he can smuggle a given amount of equipment inside the embassy and will suggest that it should be items that will let you efficiently and silently deal will enemies. You can ask the Elf for some time to gather the needed equipment or choose the ones you want to smuggle at once (screen above).
Overall, you will need to decide how you want to act inside the embassy. Despite what you might think, you will be able to engage enemies in direct combat without them raising an alarm and calling in for reinforcements. If you don't mind the aggressive style, give Malborn your current weapon and all other gear. At the same time don't worry about being defenceless, as you shouldn't come across any enemies on your way to the party. If you prefer to take some precautions and act from the shadows after reaching the party, you should give Malborn a dagger and as many equipment, rings, amulets, potions, scrolls and any other items helping in staying silent. Of course it all will be a waste of time if you aren't a thief and don't have a developed Sneak skill, as the whole rest depends on it. Regardless of which option you choose, give Malborn a couple health, magicka and stamina potions and at least a few lockpicks.
New main objective: Meet Delphine at the stables
You can head out of Winking Skeever and the whole Solitude. Go west, staying beside the main path. Turn south at the first chance, reaching Katla's Farm. Find Delphine (screen above) and talk with her. The woman will give you the Invitation to Elenwen's Reception, Party Boots and Party Clothes. Open the inventory and put on the newly gained items, making sure that you aren't wearing any other clothes.
Note: If you intend to sneak, consider leaving your follower behind, as otherwise you would have to be very careful for him not to attack anyone prematurely. If, on the other hand, you intend to fight the guards, you won't have to change anything. Approach Delphine once again and confirm the will of heading to the embassy (screen above). Wait until you reach the Thalmor Embassy.