Read Cultist's Orders | Main story mode - Dragonborn TES V: Skyrim - Dragonborn Guide

With the letter in your hands, you can now read it to learn that a certain mysterious Miraak has passed a death sentence on you. The assassins came here to murder you, as according to them you are a false Dragonborn. Of course you can - and should! - follow their trail. The letter states that the assassins came to Skyrim onboard the Northern Maiden, currently moored in Windhelm. You should get onboard and sail to the distant island of Solstheim, where your would-be assassin probably is.