I've read that this quest can be really buggy but from what I've read I've done nothing that would cause it not to even initiate. I've tried several saves and gone back in time and it just won't start. I've done it before on several other characters. The only thing that is different is that I installed both Dawnguard and Dragonborn. I've since deleted both DLC's and yet it still won't start.

Is there anything I'm missing other than going to Windhelm sometime around midnight?

http://www.uesp.net/wiki/Skyrim:Blood_on_the_Ice#Bugs

NEVER.

DELETE.

DLC.

(or, at least, if you do, don't try to continue to play a character where they were active)

It leaves orphaned scripts running that balloon your save file and make it unplayable.

***

Enter/exit Windhelm multiple times (seven times changing location, if I remember correctly), and you must enter at night. You must not have killed Nilsine Shatter-Shield during "Mourning Never Comes" for the Dark Brotherhood.