Right talk to the guard and follow the speech prompts, your aim here is to help so choose the correct speech option. So if you happen to choose the wrong speech line or things go south fast ( Stuff Up ) you have a save point to restart the quest. The first thing I did at this point was do a **** MANUAL SAVE ******* Now I have returned to Windhelm & low and behold there is a dead woman amongst the gravestones with a Stormcloak guard and a few people standing around.
I did 2 bounty jobs for the Steward of Windhelm & then left Windhelm for 12 hours ( Real Time ) & did other quests or side quests elsewhere in Skyrim. Now this quest is not your usual quest where everything flows smoothly.