Azura's Shrine is a Daedric shrine north of Cheydinhal. It is along the road going southwest from the Temple of the Ancestor Moths.
Bur-Meema, Mels Maryon, and Ralsa Nethan can be found worshipping here. Mels Maryon begins the related quest, Azura, once you reach level 2; to proceed, an offering of glow dust must be made to the shrine at dusk (5-7pm) or dawn (5-7am). At the conclusion of the quest, five candles will appear on the boulders behind the statue in memory of Azura's slain followers.
Two benches and a lectern with two lit candles are in front of the shrine, with six additional lit candles on a rock nearby.