Talk to Alves Uvenim at the Leyawin mages guild and ask about Daedric Shrines. She will tell you about Nocturnal Shrine just north of Leyawin.
Go there and do Nocturnals quest. As a reward you will receive the skeleton key which is an unbreakable lockpick that weighs nothing and raises your security skill by 40 points as long as you have it equipped.
Then go out break into anything and everything you set your eyes on.

Notes: must be atleast level 10 and have read the modern heretics book found at Cloud Ruler Temple or the Arcane University. If you killed Weebam-na at Leyawin before this you can not do the quest.