To get this trophy you must complete the quest "Diplomatic Immunity" which is a part of the main story and cannot be missed.
*** Spoiler - click to reveal ***After completing the quest "A Blade In The Dark" Delphine will tell you that she suspects the Thalmor are behind the return of the dragons and task you with infiltrating the Thalmor Embassy. After speaking with her in Riverwood, you will need go to the hold of Solitude where you will meet her contact, Malborn. If you have not already discovered Solitude you can use the carriage to get there for 20 gold.
After speaking with Malborn he will offer to smuggle some equipment into the Embassy for you. Give him any weapons and armor that you would like to take with you. After that go out to the stables just outside of Solitude and speak with Delphine who will provide you with party clothes. Put the clothes on and board the carriage which will take you to the Embassy.
Once you arrive at the Thalmor Embassy, speak with the guard out front and show them your invitation and head inside. Elenwen, the host of the party, will greet you once inside. After speaking with her, talk to Malborn at the bar who will be ready to help you slip away from the party after you create a distraction. To create a distraction, grab a drink from one of the servers and give it to Razelan. Ask him to create a scene so you can slip away.
Return to Malborn who will take you behind the bar. You will also have the opportunity to retrieve the gear you gave him at this point. You will then have to fight Thalmor Soldiers and Wizards until you get into Elenwen's quarters. Your marker will direct you to the dungeon in her house. Loot the chest next to the entrance for the key. Once inside you will have to defeat a wizard and a Thalmor soldier. Loot the nearby chest for the journal you are looking for and loot the Thalmor soldier for a trap door key. Also at this point you have the option to free a prisoner who will help guide you out of the Embassy.
Go through the trap door will you will have to fight a frost troll. In this cave there will also be a Stone of Barenziah and an Illusion skill book. Escape the Embassy by leaving the cave and then head back to Riverwood to speak with Delphine. After speaking with her you will unlock the trophy.
*Cross posted from Skyrim (PS3) Trophy Guide