After the attack on Weynon Priory, your next destination is Cloud Ruler Temple, the stronghold of the Blades. This ancient fortress is located high in the Jerall Mountains, north of Bruma. The journey can be long and perilous, so be prepared for encounters with various creatures and potentially bandits. Once you arrive, you'll be greeted by Grandmaster Jauffre and the other Blades. Martin will be formally introduced to the Blades, and they will pledge their loyalty to him as the last Septim heir.
At Cloud Ruler Temple, Martin will begin his studies of the Elder Scrolls and the Prophecy of the Dragonborn, seeking a way to stop Mehrunes Dagon. Your role will shift to assisting him in gathering the necessary artifacts and knowledge. This temple will serve as your primary base of operations for a sificant portion of the main quest. Take some time to explore the temple, speak with the Blades, and familiarize yourself with its layout. You can find trainers, merchants, and even a bed to rest in here. The Blades will also offer some basic training and supplies.