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He believes that the secret to defeating Alduin will be revealed by Alduin's Wall, an artifact created by the Ancient Blades. Check your quest log: "I found the Blades loremaster Esbern and brought him to Riverwood to talk to Delphine. Might be safer to travel separately, attract less attention. Tell them you will meet them at Karthspire. Or you could catch the carriage from Whiterun to Markarth and then approach from the west. she will say that from Riverwood, the road south through Falkreath is the most direct route. Ask her what's the best way to get there.
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Delphine knows the area, known as Karthspire, in the Karth River Canyon. Alduin's wall holds the key to defeating Alduin. Its location has been lost for centuries. Alduin's wall was where the ancient Blades recorded all they knew about Alduin. Esbern will mention SkyHaven temple, where Alduin's wall was built, on which they accumulated all known dragon lore. Lead Esbern to Delphine's hideout at the Sleeping Giant inn. Make your way alone out of the ratways and he will be there when you exit. If you don't see Esbern he probably ran ahead of you. Kill all enemies and make sure to protect Esbern, since if he dies, the quest will fail. You might also come across Shavari, a Khajiit assassin sent by the Thalmor to assassinate you. Fight the Thalmor agents you encounter on the way. Follow him through the tunnels and the Ragged Flagon all the way out to Riften. He will then start running through the ratway.
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Objectives Escort Esbern to Riverwood Talk to Esbern. This begins the quest "Alduin's Wall" Open your quest journal: ALDUIN'S WALL I've gotten to the Blades loremaster Esbern ahead of Thalmor, I hope he's as knowledgeable about dragons as Delphine promised. When he learns that you are the Dragonborn, he wants you to take him to see Delphine immediately. After locating Esbern in the Ratway Warrens under Riften for the quest "A Cornered Rat", he tells you about Alduin and the prophecy.