In order for this to work, you must have the Shivering Isles expansion pack.

You first must go to meet sheogorath in his realm which takes some time and effort, to get passed the gatekeeper and through the gates of madness, but when your finished talking to him, go back to Cyrodil and find his shrine, its NNW of Leyawin, as an offering bring yarn, a Lesser soul gem, and a head of lettuce, and thats it.