devil,
check out the http://www.uesp.net/wiki/Oblivion:Unmarked_Roads#Bruma_to_the_Temple_of_the_Ancestor_Moths page on uesp.net. the section on getting from bruma to the temple of the ancestor moths covers getting to azura's shrine.
the path appears to come into azura's shrine from the northwest http://www.uesp.net/maps/obmap/obmap.shtml?locx=111865&locy=138290&zoom=16
good luck!