Sword And Crossbow

To get out of the room, you need to click on one of the nine skulls. With the middle northern skull being 12:00, the skulls do various things according to their position:

The corridor beyond spirals around and out from the room where you appeared. There are several flesh and iron atronachs in it, but you should be able to easily take care of them by this point. If you really don't feel like fighting atronachs (why bother? it's not like they tote loads of goodies), click on the middle skull of the east shelf and it will teleport you near the end of the spiral corridor (there will be one atronach in front of you and one behind you). Go through the door at the end and up the stairs (there are a couple of human warrior-types near the top of the stairs).

You need to talk to Sheogorath to get out of this section. If you explore the first part, you'll find yourself in a bunch of inclining passages that look like a crossbow. In the middle shaft you will find an opening into a series of rooms and passages that look like a sword.
Sheogorath is in the room at the pommel of the sword. In the rooms at the ends of the crossguard are two fighter-types. Clicking on the statues in those rooms will teleport you out into the big chamber where you get to ride up and down an elevator while Daedra Lords take pot shots at you. You can use the sword or crossbow at either end of the elevator ride to teleport back to this section. Talk to Sheogorath. He will ask what his other weapon is. Answer, "crossbow" and then go all of the way down the central shaft. When you hit bottom, you'll be teleported to the big chamber.
You will start on a big stone with a sword stuck in it. There will be four Daedra Lords floating around you, so duck down into the hole next to you. At the bottom you will see two red banners and a box. Clicking on the left banner opens the box, revealing another box. Click on that to reveal a white gem. Click on the gem and the island will start sinking. Stay inside until it reaches the bottom.
Walk over to the big Crossbow and set yourself firmly into the notch of the bolt. Face back toward the big island and SAVE THE GAME.
This sequence generates more crashes on my system than anything else in the game. Click the left battleaxe to fire the crossbow. The bolt will stick into the target and cause the sword to tip over (hopefully taking you with it). Simply go up the sword to get to the exit.

From Jormungandr (16 March 2006): Follow the beginner's guide until you reach the top of the stairs and see the shaft.

You are in the left end of the bow. Climb the shaft and sidestep into the passage at the top. Continue to the peak of the crossbow. Now, below you there is a passage on the north side of the central shaft. Facing mostly north, walk off into the shaft and you should fall into that passage.

Continue ala the guide.