How can I get into the Thalmor Embassy
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You obtain that key as part of the mission line, so just keep doing the related quests.
During the diplomatic ammunity quest the unusual gem is in the thalmor embassy. If complete the quest but forget to grab the gem, don't worry some time later some thalmor wizard steals the gem and escapes through trap door but guts killed by a troll before he can exit the reeking cave. Stand at front gates to the embassy then go around to the left and the side of the mountain and you find a road follow it back toward the mountain side and you find the reeking cave entrance go in and find the gem lying next to the body. Took me some time to figure it out.
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