The Daedra Lord will ask you to serve her by retrieving an orb that has been stolen by a wizard named Arkved. When you finally track down such a gem, present it to Vermina's Shrine as an offering. Of course, you can also find such gems on the bodies of Necromancers you've slain, but they're fairly rare as loot. During that particular quest, you'll find an altar capable of creating Black Soul Gems. However, if you do pursue the Mages Guild quest line, you'll eventually reach the Necromancer's Moon quest. A couple of these gems can be found during the Cheydinhal Recommendation quest, but you won't be able to use them if you want to pursue the Mages Guild quest line. The Dark Elf Aymar Douar is the one you need to speak with here, and he tells you that you need a very rare item to speak with the Daedra Lord Vaermina - a Black Soul Gem. Once you meet that requirement, pay a visit to Vaermina's Shrine located to the southwest of Cheydinhal near the beach of Lake Poppad.
This particular Daedric quest requires you to be at least level 5 to begin it.