Final Justice
Oblivion: Dark Brotherhood Quest
Your next dead drop orders can be found at the Old Bridge, which is just southwest of the Imperial City Waterfront. You're directed to kill Shaleez.
You can find Shaleez in the Flooded Mine, which is north of Bravil. As this mine is (obviously) flooded, you might find water-breathing magic or enchanted items useful.
Inside, you'll find Shaleez swimming in some are of the cave. If you're finding underwater fighting too challenging, you could exit the cave and fight outside.
Once Shaleez is dead, you'll be heading to Fort Redman to find the next dead drop, your reward and the next quest: A Matter of Honor.