The Rivertown sewer entrance to the castle treasure room is where you need to go to rescue Zandalor. It may be flagged on your map, and is south of the prison entrance with the executioner. If you found the entrance before getting this quest, you could have explored a couple rooms, but then there would be a locked door preventing you from continuing.
If you joined the thieves' guild, the poor quarter sewer entrance is closer, otherwise use the Ars Magicana entrance.
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