This is one of two quests you will receive after talking to Hyrrokin, which takes place at the end of the quest "Mistress of the Iron Wood". Completing this quest will unlock an additional dialogue option when talking to Gunlodr in the quest "A Feast to Remember".
Find a present for Gunlodr.
Head to Thrym's House. The house is located beneath a frozen lake. Kill the enemies you encounter nearby and dive into the ice hole.
Swim through the underwater tunnel to the next cave, break the ice wall and go to the next cave.
Enter the water and swim through the tunnel on the left.
Then destroy another ice wall behind which you should find Thor's Circlet lying on the table. Pick it up and this quest will end.
