The Stairway of Sheogorath is located directly south of Dunroot Burrow, these ruins appear to lead up to the summit of Mount Sheogorath.
This is basically a small covered landing with stairs leading a short way into the rocky slope to a little nook with three urns that contain leveled loot. Ascending up the slope from the landing are five massive columns, one of which is toppled.
This place can be seen clearly from both Mount Sheogorath and Punishment Point.