Go talk to an innkeeper, ask them for the rumours, and they'll eventually tell you that some kid named Aventus Arentino (sp?) is being all weird. You'll then get a miscelaneous objective assigned to go find him - he lives in Windhelm (if memory serves, Elda Early-Dawn in Candlehearth Hall will tell you rather quickly, so you won't have to cycle through all the rumours too terribly much). Go follow your quest marker to his house and talk to him, and it will all go from there.
No, getting that letter is not optional at all. You have to get it, otherwise "With Friends Like These..." (the next quest) will not start.I had some troubles with the next step, because even if various guides on the internet will tell you that getting the note from a courier is optional, it doesn't seem to be. After murdering someone ou have to go from city to city until a courier catches you, gives you a letter with a black hand on it.
Then you have to sleep in a bed that is not your own (AKA an inn).