At such time as you reach Solitude, you're likely to hear of (or encounter) an unstable-seeming old man wandering around near the Bard's College. This is Dervenin, and he is sorrowful and bereft: his master has abandoned him for some time. According to the madman, his master is in Solitude to visit 'an old friend' and have tea... in the Blue Palace. After a bit of whinging and cringing, Dervenin requests that you convince his master to return from his visit.
When you eventually agree, the old man tells you that you'll need something to enter Pelagius' wing, where his master is visiting. He then hands you Pelagius' Hipbone, a human pelvis. You can ask Dervenin some more questions about his master, but as the man is at least a bit unstable, it's unlikely that you can make any real sense of his ramblings (and dubious that you would even want to, come to think about it).
Either way, you'll have to head up into the Blue Palace to continue. As it turns out, the door to Pelagius' Wing is locked tightly. You can ask around the Palace if you like, but nobody official is willing to grant you access to the wing. Apparently, it is not only abandoned but haunted in some fashion that leaves none willing to go there, or even admit others to that part of the Blue Palace. While this is frustrating, you will be given a few other tidbits of information- the wing was created by an ancient Jarl of the area, one Pelagius the Mad. Pelagius was one of those mad kings of the 'we don't talk about him' sense, rather than the infamous sense, so it's likely he wasn't too bad a ruler- just completely out of his headcase.
After enough poking around, you may come around to asking the servants about the wing. This is where you'll get a better conversation option- you can, with a little bit of lying, declare that you were told by one of the officials to head in there and clean things out. Alternately, one of the servants will just let you in, no questions asked. As a third option, if you're in good with Falk Firebeard, he'll (reluctantly) give you a key and warn you not to bring anything from the cursed wing out into the rest of the castle.
Make your way into Pelagius' Wing, which can be accessed through the ground floor of the Blue Palace. Long since abandoned, the various sacks and other containers here may still contain some viable preserved vegetables and fruit, and you can pick up a few bottles of drink. Otherwise, the wing is pretty much a mess of clutter and cobwebs, with nothing in particular to recommend it as interesting, nevermind important.
At least, until you suddenly cease to exist.