Time to trundle off to the wizards school in Winterhold (so hopefully you’ll have already accessed this place via the main story missions, otherwise you’ll have to complete a few of those before you can go any further with this DLC mission).
Head up to the library, chat to ‘Urag gro-Shub’ and this’ll begin the non-DLC mission ‘Discerning the Transmundane’ (which you can find here http://www.gamerguides.com/elder-scrolls-v-skyrim/misc-quests/daedric-quests/discerning-the-transmundane/). If you’ve already completed this mission (and you haven’t sold the scroll to a librarian for gold), then you’re in luck as you’ll still have the scroll! Hurray!
If you sold it previously, then you’ll need to conjure up 4,000 gold for the scroll (or 2,000 if you’re an Arch-Mage). Got both scrolls now? Good! Back to Fort Dawnguard for you!