The Elder Scrolls V: Skyrim/The Black Star

From time to time, you'll find someone making a pilgramage to the Shrine of Azura. You may also hear it in the inn as well. When you get there, Aranea Ienith tells you are selected as Azura's champion.

Winterhold
Aranea recommends heading to Winterhold and ask for an elven mage that can turn the brightest star as black as night.

The first step is to find Nelacar. To locate him, you can speak to the mages at the College of Winterhold for information about a mage who studies stars, or with the innkeeper within Winterhold. When you speak with him, you need to pass a speech check or bribe him - once opened up, he will talk about Azura's Star, a special soul gem that doesn't get consumed.

The star was examined by Malyn, and when he became insane, was exiled to Ilinalta's Deep - a fort located in a lake north of Falkreath and west of Riverwood.