To join the Dark Brotherhood, you must travel to Winderhelm to start the "Innocence Lost" quest. The quest is acquired by talking to Aventus Aretino, a child who performs the Black Sacrament ritual to summon the Dark Brotherhood. You can find Aventus Aretino in the Aventus Residence in Windhelm. You can start the quest at any character level and as soon as you get to Whiterun by using the Transport Carriage. The "Innocence Lost" quest will task you with killing Grelod the Kind in the Honorhall Orphanage in Riften. You can kill Grehold before accepting the "Innocence Lost" quest to complete the quest on talking to Aventus Aretino. After completing the quest, you will receive a letter from the Dark Brotherhood marked by the symbolic black hand and a short message reading "We Know." To progress to the next Dark Brotherhood quest, "With Friends Like These..." by sleeping in a bed.