After the main quest? The door is locked and I need a key. Anyone know where it is?

Have a fishystick! http://images.uesp.net/c/c4/Fishystick.jpg Welcome to the forums!

No, I have no clue.

Do you need to get it for the Stone of Barenziah? Because it's been moved as of the last update, to the cave you leave through, so you can always get it.

Yes, it's for the Stone. Thanks. Guess I'll have to find that cave then.

Don't be angry if my directions are wrong, but...

When you go up towards the Thalmor Embassy, instead of going into the Embassy grounds go past them with the Embassy on your right. I think the main road actually continues on that way, but I'm not sure. Anyway you will eventually go downhill and swing around behind and below the ridge the Embassy sits on, heading down towards the northern coastline on the other side of the mountains there. Look for a cave entrance on your right. I don't remember if it will give you the "heads up" and tell you that it's the entrance or not when you get right up close but if so it's called Reeking Cave.

I'm pretty sure the entrance is there somewhere, I was determined to find it again on my last character so I made a point of noting where it was in relation to the roads and the Embassy itself. But it's been a while since I was there so.... anyway, good luck!

Cave is at the end of the main road, halfway between a bandit camp and embassy.

Get a horse, walk it into the embassy grounds, there's a tree against the wall in the grounds, gallop towards the tree, maybe sprint gallop on it, and you'll fly over the wall.

Get caught praying to Talos.

Thank you all for replying. It's appreciated.