The message came to me when I killed the first Sigil Keeper (in the first oblivion gate) or when I killed a wandering Dremora in that same gate, I can't remember exactly. It came to me quite as a surprise, as I can't really imagine how my "cold blooded murder" could have been sighted by anyone.
Except if the soldier trapped in the cage next to the Sigil Keeper is actually a member of Dark Brotherhood? But how did he contact the others if he was in a cage in the plane of Oblivion, with the Oblivion gate shut? 
Sithis sees all...
*ahem*
Well, I used the um...'Unfriendly Competition' quest in the Imperial City.
When I got to the last part (in the mausoleum, Agarmir and his guard friend) I sneaked through the door stooped down on the stairs in the dark, nocked an arrow and let it fly into the head of Agarmir's guard friend. Then I got the message. Lucien visited me, and the rest is history.
Although, with my first EVER character, I killed a vagrant in the IC. Then killed Lucien when he came to visit me in Anvil.
