Your first job is to question the three people surrounding the body: Helgird (Windhelm's priestess of their Hall of the Dead), Calixto Corrium (owner of Calixto's House of Curiosities), and Silda the Unseen (Nord thief and beggar). You'll learn more about it from a guard when you approach, including that they could use the extra help with investigating. In Windhelm's graveyard, the body of Candlehearth Hall's barmaid Susanna the Wicked can be found, surrounded by guards and witnesses to the bloody death. Sadly, you'll have the chance to confirm said rumors when this quest starts. After visiting Windhelm a few times, you'll have heard the cityfolk and guards discuss a serial killer in their midst, though it is mostly dismissed as a rumor.