Diplomatic Immunity is the name of a quest that is part of Skyrim's main quest line. It involves infiltrating the Thalmor Embassy and searching for documents might explain the return of the dragons to the continent of Tamriel where the game takes place.
The quest begins by speaking with Delphine in the town of Riverwood. Delphine's contact inside the embassy, Malborn, agrees to smuggle the player's equipment onto the premises. The player is then given a forged invitation to a party taking place in the embassy. After slipping away from the party, the player must then sneak inside the ambassador's office and search her papers for clues pertaining to the main quest.