Play long enough and some courier should hand you a flyer advertising a museum in Dawnstar eventually, which starts the quest (Pieces of the Past). Apparently you have to collect a Daedric artefact (i.e. a Daedric weapon quest reward) and be level 20+ for the courier to be triggered. In theory though just going straight to the museum should trigger the quest. Only one way to find out.
Last edited by DarthParametric; 11-20-2011 at 12:18 AM.