So when you are sent to kill Cicero in the Dawnstar Sancuary, when you choose to let him live or die, I've heard he can become your compainion. I let him live, but when does he come my compainion? (Or where can I find him?)

Keep going along the DB questline, if I recall this correctly. I believe he appears outside Dawnstar Sanctuary at some point and surprises you.

I had to kill Cicero. His annoying voice and his Jester outfit was the death of him.

You killed "Pooorrrr swwweeeeeettttt Cicero?" (as he would say?)

He didn't follow the rules and jumped the chain of command so he had to go. Plus, I think he had some necrophilia issues going on.

If you take him as a follower occasionally he will say
edit: added spoiler tag because I realized that may be tmi for some.

Well, also my main question is that what part of the Dark Brotherhood quest does he appear again? (Like after its finished, you get to the new santuary...)

It's so much better to not kill Cicero. And in the end, it turns out he wasn't the most treacherous one after all. I've taken him on as a follower but we haven't left the Sanctuary yet. All he comes armed with is an ebony dagger so I assume he can do some serious damage with it. If not then I'll carry along some extra stuff to give to him. When I searched him for gear he said...

"Oh Listener! That tickles!!!"

Gotta dig Cicero.

Complete the last Dark Brotherhood quest and exit the Sanctuary. Cicero will approach you and after that, you can recruit him as a follower.

As a follower, he's tougher than others (high minimum level, high maximum level; in fact, I think he has the highest starting level of any follower) and has a good weapon (an ebony dagger), though he has no armor. His default equipment can't be taken (just like any other follower), but it improves his sneaking and muffles his movement. This, coupled with his high sneak skill, makes him the best follower for an assassin. He also will commit any crime you instruct him to, and he will gladly murder for his Listener.

Due to his high max level, once the player is past level 30, Cicero cannot be disarmed by draugr.

He is also essential and cannot be killed.

Wikia just says, "after completing the questline for the Dark Brotherhood" and then lists a bunch of quest names on a separate page. Here is the link (spoilers to be sure - it has the quest names for all the holds/factions) of the quests:
http://elderscrolls.wikia.com/wiki/Quests_%28Skyrim%29#Faction_Quests

OMFG, I hope you're kidding.