Meeting With Lady Brisienna
A few days to a month after you make your way out of Privateer's Hold, you will get a letter from Lady Brisienna. She is the agent of the Emperor in the region and wants to meet with you. You will have 30 days in which to meet with her. If you do not meet with her you will receive a second letter telling you that she has extended her stay. If you miss the second meeting, you will receive a very nasty third notice (maybe she works for a collection agency in her spare time?), but ignoring the third notice will completely lock you out of the Main Quest. She is easy to find. Just go to the town she tells you to, find the inn she is staying at and talk to her. She is the regal-looking lady in the brown dress and very hard to miss.
Some players have reported problems in finding her because she frequently stays at inns on the overland map, rather than inns in towns or cities. In this instance, plug both tavern names into the "Find" window. One of them will cause your fast travel crosshairs to pop up.
When you talk to her she will tell you to check out the courts of Daggerfall, Wayrest and Sentinel (a lot of help, huh?). After talking to her, you are free to do whatever you want. You can follow up on the Main Quest, put it off for a while, or ignore it entirely and just do your own thing. But because you have talked to her, you now have options.