Traitor's Post, a destroyed cabin, is currently home to a gang of bandits led by a Breton female named Erwan. You will be tasked to go there and investigate. You will learn that the jarl has put out a call for aid regarding the disappearance of a merchant, Gunther Frost-Foot, who was last seen in the area of Traitor's Post east of Windhelm.
Upon obtaining this note, the quest will begin. Alternatively, if you don't speak with the innkeeper, you may be given this note by a courier. Ask the innkeeper for work and you will be handed a note titled Missing Merchant. You will be directed to speak to the innkeeper of Candlehearth Hall ( Elda Early-Dawn, or Nils if she's dead).