Every time I'm supposedly right there according to my compass and map, it's not there!?

Yeah, I had the same problem. It is at the BASE of the mountain on which your compass says the entrance and the embassy are found. Approach from the NORTH side, so go North past the embassy and where your compass says the entrance is then CAREFULLY make your way down the mountain. The entrance is marked by icicles and a burned looking tree stump. Hope that helps.

Thanks! Can't wait to get to Skyrim and try again

That did help, I found it. Thanks so much