"Soul Shriven in Coldharbor" is the start of the main quest. That's the quest the hooded woman gives you.
Open it in your journal, and then click "M" for map. This should show you where on the map you're supposed to go for that quest.
I'm unclear how you were able to defeat Molag Bal or get the "Messages Across Tamriel" quest without doing that first quest. ????? Maybe I'm misunderstanding what you're writing.