The second step, after Innocence Lost, is to complete the quest “With Friends Like These” to join the Dark Brotherhood. You can start this quest after you have received a letter from a courier that has a black hand on it with “We know” written under it:
After you have received this letter you have to find a bed and sleep in it. I think that it doesn’t matter for how long, but I chose to sleep for 24 hours. You instantly load into the hut in which the joining begins.
Which Prisoner Should You Kill?
Astrid will ask you to kill one of the three prisoners behind you, but she doesn’t tell you who. The easiest solution is to kill them all, which is what I did. You can talk to them to get an idea of whom to kill, but I really couldn’t be asked to spend time for the right thing to do so I executed everyone.
Finding the Dark Brotherhood Sanctuary
After you have left the hut you can go to the Dark Brotherhood Sanctuary. It is west of Falkreath:
The password is “Silence, my brother.”