the door you are talking about is in an abnadoned house basement, and it should ask you for the answer to a question which is what is the color of night? The only way to get in to the door is to join the Dark BrotherHood Quild. Once you do that and go back to the door afterwards, it puts the correct question up there. What is behind the door is the a dark brotherhood santuary place. In order to join the dark brotherhood quild, you have to kill someone of importance in the game, well you dont have too, it can be any random person in the game, but someone you already r going to have to kill is suggested. Also, the person has to be someone, who is in atleast one non-evil guild. Once you do that, you to bed and sleep, and when you wake up there will be a guy in a black robe standing beside you. He is one of the main leaders of the dark brotherhood guild, and you will then be a member of there guild and then you will be able to enter the door in the basement of the abandoned house. It may sound like a lot of wook, but trust me it is easy, and just be sure you save the game before killing that one person, just in case you are caught, and especially if you are a member of the mages guild, becasue after all it is forbidden to kill, or steal anything.