Skyrim Dark Brotherhood Walkthrough: With Friends Like These Quest

This quest is unlocked after completing "Innocence Lost". Leave Windhelm, and go to one of the inns in any of the cities.  A Courier sometimes will catch up with you, has something to deliver for your hands only. He does not know who the note is from, he just saw a creepy fellow, black robes. But he was paid a hefty sum to get the note to you. He gives you the note. The mysterious note as a black paw on it, and underneath it says "We Know".

Get a room, and have your character sleep in the bed. You are awaken in a small shack, in front of you is a Dark Brotherhood Assassin named Astrid.

She asks you if you slept well. Ask Astrid what's going on. Where are you, and who she is. She says it does not matter. You're warm, dry and still very much alive. That's more than can be said for old Grelod. Ask here how she knows about that. She says half of Skyrim knows. Old hag gets butchered in her own orphanage. Things like that tend to get around. But don't misunderstand. She is not criticizing. It was a good kill. Old crone had it coming, and you saved a group of Urchins, to boot. But there is a slight problem.

You can reply:
A problem?
I don't think I like where this is going...
(Remain silent)

Choose the first option. She tells you how that little Aretino boy was looking for the Dark Brotherhood, for Astrid and her associates. Grelod the kind was by all rights a Dark Broterhood Contract and you stole the kill. So you need to repay. Ask her if she wants you to murder someone else and who is the next target. She tells you to turn around, you will notice her guests. She has "collected" them. There is a contract on one of them, and that person cannot leave this room alive. You have to figure one which person it is who has the contract on him or her.

Astrid tells you to make your choice, make your kill. She just wants to observe, and admire. You can respond:
I'll have no part of this insanity
Allright, I'll do it. I'll kill one of them.
(Remain Silent)

Choose to remain silent. She will take this as acceptance. Make your kill, and you settle the debt with the Dark Brotherhood. Repayment of your debt is but a discreet knife thrust away.

Open your quest log:

With Friends Like These
Astrid, of the Dark Brotherhood, informed me that by killing Grelod the Kind, I have robbed her organization of a kill. I have been taken captive and moved to some remote shack. Astrid will only give me the key if I kill someone she has taken captive, to repay my debt.

Your objective now is to kill one of the captives. Speak to them in any order:

Captive #1, Vasha
Vasha is a Khajiit, an obtainer of goods, taker of lives, and defiler of daughters. A real crime lord. Ask her if someone would pay to have her killed. She laughs at you. You can tell her:
Answer me, or I'll paint this room with your blood (INTIMIDATE)
Come on, you can tell me. We're all friends here (PERSUADE)

Try the second choice. Vasha says that every day someone wants to kill her. Release her, and she promises her associates will not hunt you down like an animal and butcher you in the street

Captive #2, Alea Quintus
This woman appears to have anger issues. She keeps threatening you. Ask her if someone would pay to have her killed. Try the PERSUADE on her. She tells you she is a woman living in Skyrim with six children and no husband, she does not have the time or patience to be "nice", so she had made some enemies.

Captive #3, Fultheim the Fearless
This is a Nord Warrior. He begs you to release him. He tells you that his name is Fultheim. He is a soldier. Well, mercenary really. A sellsword. He has lived in Skyrim all his life. If you ask if someone would pay to have him killed, he cries that he does not want to die. Try intimidating him. He confesses that he killed people as a soldier, when ordered to, and perhaps on occasions he got carried away.

Choose which of the prisoners to kill. There is no right answer, any of them advances the objective. If you are having a hard time deciding, try Vasha, the Khajiit Criminal. Or you can kill them all if you are playing an evil character.

Speak with Astrid. If you ask her who had the contract, she says it is irrelevant. What matters is that she ordered you to kill someone, and you obeyed. Ask her if you are free to go. She says you've repaid your debt in full and gives you the key to the shack. But why stop here? she wants to take this relationship to the next level. She officially extends you an invitation to join her family, the Dark Brotherhood. In the southwest reaches of Skyrim, in the Pine Forest, you'll find the entrance to their Sanctuary. It's just beneath the road, hidden from view. When questioned by the Black Door, answer with the correct passphrase: "Silence, my brother". Then you're in. And your new life begins.

Your task now is to enter the Dark Brotherhood Sanctuary. She gives you the Abandoned Shack Key. You can go out, and head west from Falkreath to reach the Dark Brotherhood Sanctuary. Activate the Black Door. The guard inside asks you what is the music of life. Tell him the secret passphrase, "Silcence, my brother". Enter the Sanctuary and speak to Astrid. She is glad you found the place. You are now part of the family, the Dark Brotherhood. The Sanctuary is the safest place in Skyrim according to Astrid. Ask her what happens now. She tells you that you now will start your new life in the Dark Brotherhood. You can tell her:
I am honored to be a part of your family, Astrid
When do I get to kill someone?
(Remain Silent)

if you ask her about killing someone, she says it will happen soon. She is arranging a job for you, but she needs more time. She wants you for now to go talk to Nazir, he may have smaller contracts to tide you over.

Astrid gives you a welcome home present - the armor of the Dark Brotherhood. She hopes it will serve you well in all your endeavors. You receive for your reward the Shrouded Cowl, Shrouded Gloves, Shrouded Boots, and Shrouded Armor, which are very good armor pieces for an assassin.

This concludes the quest, With Friends Like These...