Ok, after you hear about the Redguard woman, go to the Bannered Mare and speak to Saadia , the Redguard. She wants to speak to you in private. From here you can either FOLLOW HER or go find and tell the Alik’r warriors where she is.
She wants to speak to you in private, so follow her to her room. Once in here, she takes out a dagger and wants to attack you . Tell her to relax and agree to help her. Time to go find the Alik’rs.
Go to Dragonsreach and instead of going in; go to the back and enter the dungeons . In here, simply walk to the prisoner and speak to him. He offers the info if you pay his fine. Pay any guard 100 gold and let the prisoner know his fine is paid. He tells you where Kematu is, so leave the dungeons, leave Whiterun completely and time to go to Swindler’s Den . Make your way there and go inside… duh!
In the first room, you’ll find two bandits and two more in the next room. Easy enough. In the third room though, there are around five of them, plus a magic user on the upper level. Take care of the magic user first if you can. After that, follow the path until you meet with Kematu. He asks you to lower your weapons. From here, you can either continue and kill him, or have Saadia be taken to justice. Either way, you’ll end up with 500 gold and the quest will be at an end.
Note that this all depends on you. There’s no way to tell who’s telling the truth, so just follow your gut.