A Daedric Artifact
After eliminating the assassins in Bruma, Martin will explain that the only way to retrieve the Amulet of Kings is to open a gate to Gaiar Alata - Mankar Camoran's Paradise. The first item Martin will need to open the gate is the Azura's star; the Champion recalls hearing about the artifact and believes he may know its location.
The Shrine
The Champion appears in Azura's Shrine, a simple cave. There are quite a number of trolls and scamps spread throughout. There are also several chests. The scamps frequently use the poison spell when in combat. The Azura's star can be found on the most Northern point of the map atop a column, it looks much like a sword. Activating the column will retrieve the Star.
Returning
After retrieving the star, you merely must exit the cave via the entrance on the south-eastern side. There is no real indication of the exit, so a player should keep in mind what the entrance looked like. Activating the void at the exit will complete the quest.