On this page of the guide for The Elder Scrolls V: Skyrim we present a walkthrough of the initial part of the main quest Diplomatic Immunity. The beginning of this quest is rather simple, the character must reach Riverwood with the intention of talking to Delphine.
New main objective: Meet Delphine in Riverwood
Open the world map and go to Riverwood and head inside the Sleeping Giant Inn. Follow Delphine to the side room and go down to the basement to initiate a conversation (screen above). Delphine will tell you her plan of getting inside the Thalmor Embassy. It assumes participating in the party organized by a certain ambassador Elenwen, pretending to be one of the guests. The wood elf Malborn will help you, letting you smuggle a given amount of weapons and items inside the embassy. After reaching the destination point, you will be able to leave the party and take a look around the embassy to find the secret documents. The first step will be meeting with Malborn in the Solitude.