The Elder Scrolls IV: Oblivion Guide - Main Quest Walkthrough
Mythic Dawn agents are attacking Weynon Priory. Be careful, as they will likely make a beeline for you when they spot you. Enter the chapel, which is just east of Weynon House, and head inside. You'll find Jauffre being attacked by a pair of Mythic Dawn agents. Assist him, and then speak to him to learn what happened.
Follow Jauffre out of the chapel and into Weynon House. Jauffre discovers that the Amulet of Kings has been taken. When Jauffre learns of Martin's arrival, he decides that the best option is to bring him to Cloud Ruler Temple, which is located high in the mountains north of Bruma. You must travel to the Cloud Ruler Temple with Jauffre and Martin to complete this quest.
Escort Jauffre and Martin to Cloud Ruler Temple.
Fast traveling there is the quickest and safest option. Cloud Ruler Temple is quite a ways away from Weynon Priory, and on top of that, you have currently two NPCs to look after. Jauffre and Martin will instantly travel there as well if you go the fast travel route, so it's definitely the best option.
Once you've made it to Cloud Ruler Temple, approach the gates and open them to gain access to the fortress. A man named Cyrus welcomes the group. Martin and Jauffre are then led inside. Follow them up the steps to listen to Martin's speech. Once the speech has concluded, speak to Martin and then Jauffre to discuss the best course of action.