I have a quest that needs me to go there, but I can't seem to get inside as I need a key.
Talking to some locals in the houses didn't seem to give more information on where I fetch that key, did I miss something that the quest giver might have said me? How do I get that key?
Best Answer
Speak to Faralda at the entrance:
First, ask her why she's here.
Then ask her if you can enter the college.
When she asks why, your answer will choose which school of magic you join (destructive, etc)
She will ask you to perform a test with a certain spell. You probably don't have the spell yet, so buy it. It's going to be about 30 gold.
Once you buy the spell, if you are roughly level 3 or 4, you cast the spell at the seal on the floor. She will then lead you to the door of the college herself, no key required.