To find it look at Bleak Falls Barrow from the sawmill cross the river and follow the river up till you see a stone tower on your left (this will act as landmark if you get lost) keep following the river until you reach the tower. You can also find another Daedra Heart near Riverwood.Can be bought from the little girl at the dark brotherhood for 670 (which is really cheap considering the other alternatives ).Can be found as a random lootable item that can be looted from corpse.Can be looted from the corpses of Dremora.
To obtain the heart he has to be pickpocketed/killed.