Once you’ve downloaded the Shivering Isles expansion, you can either start up a new game or load an existing saved game. After a day has passed, you’ll receive a message telling you about a strange door that’s opened in the Niben Bay. Go to the new island southeast of Bravil where you’ll find an odd glowing blue doorway made of three faces. Talk to Gaius Prentus, the guard in front of the door, and he will tell you that he’s there to prevent the insane adventures returning through the doorway from harming anyone.
You’ll shortly see one such adventurer appear and attack the guard before being subsequently killed. Afterwards, you’ll hear the disembodied voice of Sheograth seeking a hero to save his realm. When he’s done, enter the doorway, sit at the chair in front of the desk you find there, and talk to Haskill. He tells you that Sheogorath needs a champion to help him with a forthcoming disaster. When you accept the offer, Haskill will send you to talk to Sheogorath in person before vanishing. The room will dissolve into a horde of butterflies, allowing you to enter the Fringe.