Find Delphine. After completing the quest “A Blade in the Dark,” you’ll need to meet Delphine, the female member of the Blades group, in a place called Riverwood. From Whiterun, take the road directly south and you’ll come across a small town with several wooden houses. This is Riverwood. Find the local tavern called the Sleeping Giant Inn in the middle of the town, and inside you’ll find Delphine. She will then tell you that you need to infiltrate the Thalmor Embassy and that you need to see a man named Malborn.
Talk to Malborn. Go to the city of Solitude, the city on the northwestern corner of the map. Inside, find the local tavern named the Winking Skeever, and you’ll find Malborn at the sole table drinking.
Give your items to Malborn. He will be smuggling items for you inside the Thalmor Embassy. As you talk to Malborn, your item menu screen will appear. Select all the items that you want Malborn to smuggle into the embassy for you, and press the “Give” button to end the conversation. Note that once the conversation ends, you can no longer give any items to Malborn. Make sure that you give him everything you need, such as lockpicks, weapons, and healing potions, before ending the conversation with him.
Meet Delphine outside of Solitude. Head out of Solitude and meet Delphine in a small farm called Katla’s Farm a few steps south of the city. The two of you will be boarding a small carriage, and the scene will be cut. The next thing you’ll see is the gates of the embassy.
Enter the Thalmor Embassy. Enter through the gates and up the stairs. Make sure that you don’t have any weapons with you or else the guards will not let you through. There will be a party once you get inside the embassy. Talk to Malborn and choose the “I’m ready” option from the available response displayed on the screen.
Create a distraction. The party will consist mainly of the characters that you already know, like the different Jarls (Igmund and Elisif), and characters that you’ve already done some quests with, like Orthus Endario and Maven Black-Briar, to name a few. Talk to each one of the guests here, and one will offer you a favor and create a distraction for you. Note that whoever will create a distraction for you will solely depend on how you have played the game up to this point. Remember that you can complete a several load of other quests beforehand, so the character that can create a distraction for you can be close to random.
Retrieve your items. Once the distraction has started, go back to where Malborn is and follow him to the back of the kitchen. Inside you’ll find a chest containing all the stuff you’ve initially given to Malborn. Open it to retrieve your weapons and items.
Go to Elewen’s Solar. From the party area, go outside through the front door and head to the back area of the embassy. Here you should find a door leading to a room called Elenwen’s Solar. There will be a lot of soldiers waiting for you outside. Make sure that you’ve already equipped the weapons you had Malborn smuggle into the embassy.
Go down the dungeons. Make your way to the left of the Elewen’s Solar to find a steel door that leads to the dungeon. Take the key from the Thalmor Mage that’s guarding this door and enter the dungeon.
Find out about the dragons. Inside the dungeon you’ll find a table with a book on top it called Thalmor Dossier: Esbern. Get this book and read it. This should complete the main goal of the “Diplomatic Immunity” quest.
Leave the embassy. On the left side of the dungeon from the staircase, where you should be able to find a locked trap door. Its key can be obtained by killing the two guards that will enter the room right after you’ve read the dossier. Approach the door and use the key to unlock it. Once open, jump inside and you’ll find yourself in an underground path.
Complete the quest. Follow the short underground path, and it will lead you outside the embassy. Keep walking for a short distance until the “Diplomatic Immunity” quest has been displayed completed on the screen.
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