Sky Haven Temple is the location of Alduin's Wall and one of the last refuges for the Blades. The temple is accessed through a cave in the Karthspire (insdie it is labelled "Kilkreath Ruins"). It is located east of Markarth, just up the hill from Karthspire Camp. Delphine and Esbern take the Dragonborn there.
Sky Haven Temple
From Skyrim Wiki