This quest is hard to find out how to start unless you know what you're doing. This video explains how to start the Dawnguard DLC quest: Lost to the Ages. (I will have a walkthrough of the quest uploaded too)
Finishing this quest will earn you an achievement worth 30G. (Or a Trophy if you're on the PS3).
You must visit Arkngthand for the quest start and will have to find four shards of Aetherium. Then, open the Forge. (My walkthrough will show you how to complete that all easily).

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