Throughout the game you will receive messages from various characters asking you to come and see them. The first such message will come from Lady Brisienna who is staying at a tavern in a random town of Daggerfall. She will tell you that you should visit the Courts of the three main powers of Tamriel - Daggerfall, Wayrest and Sentinel, starting with the Court of Daggerfall. You need to find out what happened to the letter sent to the Queen of Daggerfall by the Emperor.
