You'll have to wait for a courier to stop you and give you the "We Know" Letter. There isn't really any way you can trigger this, it should just happen, but after looking for some trouble shooting ideas I found these steps.
1. Go to Windhelm, and fast travel anywhere else.
2. Fast Travel back to Windhelm
3. If the Courier doesn't show up, go inside any building and come back out.
4. If the Courier still doesn't show up, save, and repeat steps 1 through 3.
Not sure this will adequately solve your problem, but it was a recommended solve in some other places, so maybe it'll do some good. If not it might be a save issue, or a mod issue. Good Luck my friend