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.
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