I've heard from numerous places, including this forum, that there's some sort of museum that's needed for a questline in Dawnstar, but I've searched every building there, and there's no such building. Not even in the surrounding wastes. Is this some sort of glitch?

Lol bugs are now on another level for the ''least buggy game from Bethesda to date''. Missing buildings? Unbelievable.

Try activating the quest, and using the clairvoyance spell.

I have not gained the quest yet, unfortunately. That should not prevent the actual presence of the building in question, however. I've explored all of Dawnstar and the surrounding area to no luck. It just doesn't seem to exist.