There should be a khajiit named Sugar Claws on the pier just east of the boat you come out of when you first reach Vulkhel Guard. Talk to her and she'll take you to Khenarthi's Roost where you can turn in the quest.

The npc you need:

Where they're located:


If she's not showing up try logging out and then back in, sometimes that fixes things. If not then she might be bugged.