To start the Main Quest in Empyrean, simply meander down to Whiterun, and let Jarl Balgruuf know that Helgen has been burnt to the ground. Afterwards, you will need to ask Farengar if he needs any help, and he will task you with retrieving the Dragonstone from Bleakfalls Barrow. Upon successful retrieval, you must again ask Farengar if there is any more he needs help with in regards to dragons, and this will trigger the battle for the watch tower with Mirmulnir. You'll be summoned by the Greybeards, and make the trek up the 7000 steps, tasked with retrieving the Horn of Jurgen Windcaller, and finding it present int he tomb, will return it. After this, mosey back on down to Dragonsreach, and ask Farengar for his contacts information. This will prompt a courier to deliver a letter requesting that you rent the attic room in The Sleeping Giant. The main story quest proceeds apace from there.