Speak to Leah, in New Tristram, after completing the quest "Sword of the Stranger". You tell her what you heard from Maghda, that the next piece of the sword rests where only ancients may tread. Leah says that these words make her think of the Drowned Temple near the Festering Woods. Her uncle, Deckard Cain, agrees with her. The temple was home to the Nephalem. He asks Leah to join you in retrieving the sword piece.
This starts the next quest:
The Broken Blade
Go to the Drowned Temple
Leah tells you that the Nephalem were ancient humans with fantastic powers. Legend holds that they waged a terrible battle near the temple, and that their ghosts still war with one another.
Take the New Tristram waypoint, and teleport back to the fields of misery. You now have two followers in your party, Leah and the Templar. Head Northeast towards the waypoint. You will run into a wood wraith in this area, a monster that looks like a tree. Keep traveling north east along the path, passing through a small body of water. When you reach the old mill, someone calls to you. He says they are going to kill his friends, and asks you for your help. Talk to the Scoundrel.
Scoundrel: Thieves are going to kill my friend if we don't do something! Help me break these bonds, and see for yourself. She's just a farmer's daughter - Shasha, but she has a relic that the thieves are after.
This completes the objective of going to the drowned temple, and gives you your next task, to follow the Scoundrel. The Scoundrel opens the gate. Follow him inside. The next step in the quest is to talk to the Brigand. You order them to release the girl, as the relic belongs to her. But the Brigands claim the Scoundrel is lying, and attack you. Kill the Brigands. There is a boss fight here, against Nigel Cutthroat (Thieves Guild Assassin). He uses dagger throats against you, but otherwise should not be so hard to beat. As you slay him, he tells you that this isn't over, that the rest of the Thieves Guild will find you. Speak with the Scoundrel again.
Sasha: Here's the relic, my love. I hid it like you asked. Father's grown suspicious of us, but that won't matter once we're married. It won't be long, right?
Scoundrel: Of course, my dear! Soon we will settle down to a quiet life of tilling the fields and raising brats... uh... children. But first I have to sell this relic! Alas, I must travel away with my friends here to do so.
The Scoundrel tells you that you look like you know a lot about markets, and asks you to lead the way.