Head into Windhelm and head toward the Palace of Kings. When you are close to the entrance, turn to the South. this will take you along a short that leads to a house. go to the right and into the Aretino Residence.
Head inside and up the stairs, turning to the right. you will find Aventus Aretino. He will explain that he has been at this sacrament for some time and now that you are here you can accept the contract that he has. He wants to you go to the orphanage he was sent to and kill its Matron: Grelod the Kind.
Make your way to Riften. There you will be able to find the Honorhall Orphanage. Get inside the orphanage and track her down. If it is your first time entering, go into the first room on the left. She will be berating the children. Just take her out with a ranged attack. Killing her does not count as a crime. Hurting one of the children or Constance Michel does though. Just kill Grelod the Kind and leave.
To trigger the next quest, you must find a bed and go to sleep. Any length of time will work.