In the ruined fort east of Gjukar's Monument, under the shrine. The amulet may not be visible; crouch and switch to third-person view, then move the cursor around near the anvil until "Take Amulet of Zenithar" appears on screen.
Just north-northeast of Riften at the shrine of Zenithar. Following path north from Riften there are three guard towers, just after passing the third tower turn right and you will see a dirt path going up the hill. As soon as you get to the start of the path, head straight east up a small hill. There is a Shrine of Zenithar there within visual range of the 3rd tower. It is usually guarded by a frostbite spider or a bear. It will be lying on the altar just left of the anvil (sometimes glitches and floats behind the rock).