Skyrim: Visit the Shrine of Azura (with Video)

To visit the shrine of Azura in Skyrim first try to Fast Travel to the sightless pit, if you can't get there go to the college of winterhold and follow my path to the Shrine. The Horse you in the video is called Frost, you can get him for free by double-crossing a guy in a seperate mission. You get this mission in Riften. See THIS post to see how you can get Frost for free, he's a nice horse, doesn't eat much, and runs fast. He even fights along with you.