Skyrim Dark Brotherhood Walkthrough: Innocence Lost Quest

Talk to innkeepers in any of Skyrim's taverns, and keep asking them about rumors until they tell you the rumor about a boy named Aventus Aretino:

"There have been whispers. A boy, up in Windelm. Name of Aventus Aretino. Been trying to contact the Dark Brotherhood."

There are also other ways to start this quest. You can go the the Honorhall Orphanage in Riften and learn about an escaped Orphan named Aventus Aretino. Or, in Windhelm, a guard tells you about  a ritual going on in a building inside.  As you approach the Aretino Residence, you witness a very interesting conversation:

Grimvar Cruel-Sea: Then it's true, what everyone is saying? that Aventus Aretino is doing the Black Sacrament? Trying to summon the Dark Brotherhood?
Idesa Sadri: Oh, Grimvar.. always with the nonsense. No, no, of course not. Those are just tales...
Grimvar: Fine. Then I will invite him out to play. He lives right there. I'm going to knock on his door...
Idesa Sadri: No, child! Wait! That boy, that house - they're cursed.
Grimvar: Ha! Then I'm right. I knew it. He's trying to have somebody killed!
Idesa Sadri: All right. I won't deny it child. What you heard is true. But Aventus Aretino walks a dark path. His actions can lead only to ruin. Now. Enough. We will speak no more of this. I am the only friend you need.

Your objective now will be to talk to Aventus Aretino. Head to the Aretino home in Windhelm and pick the lock (Novice level lock, should be easy to pick even if you are not playing a thief).

You find Aventus inside praying and chanting dark words. He keeps talking about Grelod, saying she will get what she deserves, that the Dark Brotherhood will see to that. Aventus is happy that you came. He thinks you are a Dark Brotherhood Assassin summoned by Aventus' Black Sacrament Ritual.

Your dialog options will be:
I'm sorry boy, but I'm not who you think I am
Yes, of course... The Black Sacrament...
(Remain Silent)

You can try denying (first option), but it does not help. The boy is convinced that you are a Dark Brotherhood Assassin. He prayed, you came, and now you will accept his contract. His mother, she died. He is all alone now. So they sent him to the terrible little orphanage in Riften, Honorhall. The headmistress is an evil, cruel woman. They call her Grelod the Kind. But she's not kind. She's terrible to all of them. So he ran away, came home, and performed the Black Sacrament. Now you're here! and you can kill Grelod the Kind!

This starts the "Innocence Lost" quest. Open your quest log to see the details:

Innocence Lost
The mother of Aventus Aretino recently died, and the boy was sent to live at Honorhall Orphanage in Riften. He thinks I'm a Dark Brotherhood assassin and wants me to kill the Orphanage's sadistic headmistress, Grelod the Kind.

Your task is to kill Grelod the Kind. Fast Travel to Riften and go to the Honorhall Orphanage. Hear Grelod being cruel to kids, Francois Beaufort,  Runa Fair-Shield, Hroar. "Those who shirk their duties will get an extra beating, do I make myself clear? and one more thing! I will hear no more talk of adoptions. None of you riff-raff is getting adopted. Ever! Nobody needs you, nobody wants you. That, my darlings, is why you're here. Why you will always be here, until the day you come of age and get thrown into that wide, horrible world."

Talk to the Orphanage's sadistic Headmistress, Grelod the "Kind". She tells you that you have no business being here. You can reply:
The Dark Brotherhood has come, Grelod.
Aventus Aretino says hello.
(Remain Silent)

Choose the first option. She says how dare you, she will not be intimidated in her own orphanage, and orders you to get out. Kill her, then return to Aventus in Windhelm to tell him that Grelod is dead. He rewards you with a valuable trinket, the Arentino Family Heirloom.

This concludes the quest, Innocence Lost