Following the road from Morthal, you’ll end up at a crossroad. If you look further south, you can spot a large hillside with no trees on it. Continue forward and look for a small snowy patch on the western side of the hill on the west, the one with many boulders and trees. This snowy patch will take you to the part of the hill where the henge is. You’re looking for a kind of stone arch, made of many small rocks. In front of this arch is the skyshard, concealed in the open, shyly hiding from the eyes of the nearby Labyrinthian public dungeon.
One interesting thing about the henge where you find the shard is that it’s not the only one in the area. Back near the crossroads, a bit to the northeast, there is one more henge-looking type of structure, but this one is not totally buried in the snow. It has a hole in the center, with a staircase and a locked door. The question remains if the one on the hill really is similar to this one, and how old the snow deposits are, as they carry the weight of our shard.