Go to shivering Isles and go and find a place called Vitharn which is south on the map near the writing on the bottom. You won't be able to get in through the door but if you go around there should be an entrance in a tree.
once you're in just follow the paths through and when you have finally started the quest and have got to the battle of the ghosts, go to the archer and wait for him to fire his arrows.
If they miss quickly run and pick them up, they will be a blue ghostly color, but they're only steel.