6 Separate Districts surround the Palace District (with Palace). An audience section of the Arena (remember my Roman History Mod?) The Arena has Combatants that can be switched off (they are marked 'essential' and will not die). Outside, once you attain Freedom, is the city. Find the key (even if you have to kill someone for it - the Jailer perhaps). Look for a way out, probably in a hidden passageway.
You will be sent to the Imperial Prisons of Cyrodiil, in a locked cell. Enter the Palace of the Kings in Windhelm and at the entrance there is a display case.
