This page of the Assassin's Creed Valhalla Dawn of Ragnarok guide contains the location of all the Mythical Memories available in the Gullnamar region.
To get to the mythical memory, you simply have to enter the cave. It's not problematic. No adversary or puzzle will stand in your way. Once you get there, approach the item and interact with it. This will trigger a short video and when it's finished, the activity will end.