1st You should go to the Windpeak Inn, which is right next to the Dawnstar Barracks on the "up" part of the city (Dawnstar). 2nd Talk to Erandur, he'll ask you to follow him to the Nightcaller ...

To find this armor in Skyrim, you must complete a quest called Unholy Vigil. ... Your next step will be to reach Windpeak Inn near Dawnstar and start following up to the clues that Azarain found.