Guide:
Northern Eastmarch, southwest of Windhelm Wayshrine, in Windhelm.
Inside the Hall of the Dead public dungeon, western Windhelm. Follow the path going west of Mages Guild (structure in the middle of Windhelm). This dungeon is pretty difficult, and you might need more people in order to reach the collectible, since every mob group has 6 or more hostile NPCs. You can get two quests inside. The second one, obtained from Malana, Lost Crown will lead you to this skyshard, which is in the central room. Unfortunately, you will have to clear both very long halls leading there. The skyshard is behind a throne in the central room, but you will have to defeat the boss first.