Travel to Blackrock Depths and find Kharan Mighthammer. The King mentioned that Kharan was being held prisoner there - perhaps you should try looking for a prison.
You have been to the smoldering ruins of Thaurissan? Did you happen to run into a pitiful lout named Kharan Mighthammer? The dwarf that was supposedly watching over my baby girl!
<The King sobs.>
And now she's gone, [player]!
I have had my men turn the Steppes upside down. The only clue they have as to the whereabouts of my daughter is that she may be inside the Depths. For all I know, she could be dead!
Kharan is supposedly being held prisoner there... find him! I want answers!