Travel to the city of Kvatch, and follow the barricaded road up to the Oblivion Gate.
Follow the Kvatch Guards attacking the Stunted Scamps.
Enter the Oblivion Gate, and look for a man in Guard armor. He's scripted to attack the nearby Scamps, so don't let him die (unless your evil).
Make your way to the Daedric Tower on the Oblivion plane. Work your way up (it's confusing at first, but you'll get used to it).
There are two seperate Daedra that have the maces. Kill them and they're yours.

PS: Sometimes you will get Mithril maces.