User blog comment:JAlbor/Dawnguard: What Everyone Should Know/@comment-90.199.45.106-20120629174815/@comment-3524429-20120630011729

Or, you can just talk to a guard (if you are level 10 or higher) and he/she will mention the Dawnguard. If you are under level 10, you could just look for Dayspring Canyon yourself. The latter would be easier with a reference; the cave is pretty small and easy to miss.