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The Elder Scrolls IV: Oblivion Hints
A Watery Grave
1 of 11: This is the quest Valtieri will give to you when you first talk to him about "Contract" after joining the Dark Brotherhood.
2 of 11: You can talk to the other Dark Brothers in the sanctuary about "Contract" if you want to, but Valtieri already gave you a good hint. (Though note that Teinaava also has a pretty good one.)
3 of 11: Go to the Imperial City's Waterfront and find the Maria Elena docked at the northern dock.
4 of 11: You can board the ship directly using its boarding ramp, or you can instead use either Valtieri's hint or Teinaava's hint to get into the captain's cabin sneakily.
8 of 11: Run out the cabin's back door and jump into the water.
9 of 11: Swim for the nearby shore, then fast-travel back to Cheydinhal.
10 of 11: Reenter the Dark Brotherhood sanctuary the same way you did before, then find Valtieri and report in to him to get a neat magic ring called the Black Band.
11 of 11: NOTE: A quest called "Blood of the Damned" will be added as soon as you finish this one, but it's just there to remind you to go talk to Valtieri, and to make it easy to find him by following a quest arrow. I won't have a quest entry for it or any other "just a reminder" quests.