If you go to any of the other guildhalls, Bera Morrsmith will leap on you like another Stuga, and send you off to see Sees-All-Colors. She'll be at Vulkhel Guard, Daggerfall, or Davon's Watch, so going directly to one of those is fastest.
The first quest takes you to a local site, so doing it in your own starter zone is easiest, as you'll have more of the wayshrines.
@Senneth your question has been ably answered above. Be aware (if you are not) that doing the FG quest line does not increase the FG skill line. The FG skill line is increased by killing daedra and undead. With so many daedric/undead foes in the game the skill line normally advances easily and quickly. It can also be increased by doing the FG daily quest, which involves closing three assigned dolmen.