After a bit of a hunt, I found the other spy (there was a load of caverns under the other spy’s house, but I had to wait for a specific time of day for him to appear) and killed him until he be dead.
After that, I went back to see Sean Bean and he sent me of on another quest – to find a daedric artifact. Before starting off on that, however, I went back to my house in Bravil and dumped a load of stuff there. Also made a few potions (although nothing very exciting), and organised my inventory.
Oh, and then I went and killed all the Bravil guards. As you do. They loved it.