You only have to be level 2, then she'll tell you about this cave.


Her followers protecting her shrine were turned into vampires and she wants you to end their misery.
 Get hit enough times and you'll contract Porphilica Hemophilia or "vampires disease". Wait a few days then you turn into a vampire.
 This is good for capturing souls or just leave them there, not all at once; maybe only one or two at a time.

Talk to Azura at her shrine.
Go to the cave.
Continue to finish the quest and get Azura's star.
Enjoy the glories of the darkness.
{"src": "wikihow-all_test", "title": "How to Become a Vampire in Oblivion3"}