I believe it takes a few trips into Windhelm to get it started. Maybe 3 to 5? But you can check (I think) by looking into the graveyard near the temple. The big bug that I can think of happens with Calixto and his museum. Something to do with Necromancer necklace?

http://www.uesp.net/wiki/Skyrim:Blood_on_the_Ice to UESP's page for this quest