The helmet is located underwater off the western slope of a small island west of Anvil. The helm sits atop some human bones near a large rock.
An easy way of getting Fin Gleam is to acquire a Potion of Night Eye or use a spell, acquire some way to breathe underwater (potion, spell, being Argonian, etc.) and search the sea floor. The Night Eye potion should make it so the helmet will be a bright blue dot.
Images from the game maps in the gallery show a detailed view of the helm's location. On the second image, the cursor on the left of the map image shows where the helmet is and on the right, there are the three boulders that on the other side of the little island.
Image three shows the Hero exactly over the location and in the image one can also see the island with the one large stone on top of it, on image two it's the one in the middle of the image.