After you have installed Skyrim Dragonborn, load the game and head to any major city, for example Riften.
There, you will be approached by some weird people with masks, these are the "Cultists of Miraak":
One of the cultists will ask you:
"You there! You're the one they call Dragonborn?"
Your dialog options are: (might vary whether you have killed Alduin or not)
Yes, I am Dragonborn
The Greybeards seem to think so
I don't know what you're talking about
Choose the first option and tell them you are the Dragonborn.
The cultist will say:
"Your lies fall on deaf ears, Deceiver. The True Dragonborn comes... You are but his shadow". They attack you.
This starts the Dragonborn questline. You have to find out who sent the Cultists after you.
Kill the cultists, and loot their bodies for Cultists' Orders:
Read Cultists' Orders. Their orders were to kill you. They were instructed to board the Northern Maiden docked at Raven Rock and to take it to Windhelm. So their boat must still be at Windhelm, and this will be your next destination.
Travel to Windhelm.