Elder Scrolls 4: Oblivion Message Board  

I'm a little rusty with my memory of Oblivion, but first of all there's a shrine to Nocturnal, a daedra goddess where you have to go. It was in the southern swampy region of the Imperial lands near the Black Marsh, near Leyawin, where you need to do a quest for Nocturnal and she'll give you the key.
Here's more info on the matter:
Link

[Edited by Spamwise_GameG, 5/9/2009 1:34:49 PM]