The Molag Bal quest starts after you first interact with Amir near the Shrine of Molag Bal. You will find this to the west of the Imperial City, next to Fort Wooden Hand and the Gottlesfont Priory.

their origin is ultimately traced back to Molag Bal, the Daedric Prince of Domination and Harvester of Souls himself. Later, Sotha Sil (one of the three Tribunal gods of Morrowind, alongside ...