This quest begins once you have entered Asgard after drinking the potion provided by Valka during In Dreams…
When you first enter Asgard you’ll have a scene with the three Norns known as Urðr, Skuld, and Verðandi, each of whom are spinners of fate at the Well of Urðr. This quest begins immediately after the scene with them.
After the scene, head southeast from your position, behind the throne, and use the teleportation platform. This will transport you southwest of the throne, and beneath it. From the teleportation platform, head northeast to the Great Hall. Here you will meet a number of other deities including Tyr, Thor, and Freyja. They are discussing plans for the defence of Asgard following recent attacks, and as a representation of Hávi (Odin) you are in a position of authority to assert what should be done next. A plan is proposed to meet the enemy on the rainbow bridge, Bifrost. At this point you can choose to fight alongside Thor, Tyr, or Freyja on the bridge. It doesn’t matter who you choose, so just go with whoever you want to see fighting with you.
After choosing your companion, head northwest to the bridge. You can fight as many giants as you wish on the bridge, but ultimately this won’t do anything to progress the quest. Instead, you should continue across Bifrost to Heimdall’s Tower, where you can close the gate to stop the flow of enemies. When the gate is closed you’ll hear Loki speaking with a man known only as the Builder. Walk over to them and go through the motions of dialogue to complete the quest.
After the cutscene, you will now have the ability to Wake Up and travel back to Midgard at any time. To do so, open your map and select the eye icon located east of Heimdall’s Tower.