I put a certain wizard in jail on blood on the ice, and I read you sell the 'strange amulet' to Calixto and it turns into another amulet somehow. But for some reason the house of curiosities is locked with a master level no matter what time of day it is.

what gives?! can I just pick it and murder the guy @ this point?

k never mind, apparently he can't be killed.

am I bugged ;/

I just walked into the main area in windhelm, with the hall, and there was another murdered woman in the streets, surrounded by like 6 or 7 people all kneeling by her side.

A guard was near by but didn't talk to me like the first time I came across such a scene.

am I missing something to make the quest go further?

I may end up being no help, or maybe by now you completed the quest, but what part of the quest are you on? Maybe you are skipping a step? I got stuck a few times on this quest, so I referred to a wiki. It has a good walkthrough.

Here is the wiki if maybe you would like to look at it.

http://elderscrolls.wikia.com/wiki/Blood_on_the_Ice

I can answer your question, but it'll be a spoiler.

Yes, the quest isn't done yet. Go ahead and open the door if you can, there's a few nice things to loot, and apparently the place
restocks, too. Also, IF you can find Calixto again, sell him the stupid amulet unless you want it permanently stuck in inventory.

You may want to read the wiki article since the whole quest is rather buggy. http://www.uesp.net/wiki/Skyrim:Blood_on_the_Ice