Kill one of these people in Mournhold:

King Hlaalu Helseth
Barenziah
Drin (Temple archcanon)

Talk to the people they are associated with (ex: Helseth-Royal Guards). Talk to them about the king, or the dead person.

For king Helseth, Royal Guards say:

"The King has been murdered!"

For Banrenziah, everyone in Mournhold will say:

"All of Mournhold weeps for our lady."

For Drin, High Ordinators say:

"Drin has been murdered... we will find his killer."

Talking to the High Ordinators about the king will get the response:

"Let the guards handle it."

Its about the same for the Archcanon, and the Royal Guards.