When you're standing at the fountain between the bank and the enchanter store and look towards the market place, you might notice the big building on the left that looks like a church. This could be it. You can't miss.
If you're on console, you might want to mute your microphone during the worship. If I'd be on console and would hear this, I'd either quit or sink my headphones in the toilet. Thank the Eight and praise the Three that I'm on PC lol