The Lady's Necklace starts when a player activates the drop of the same name, which can be found in Windrunner Spire. This is the first quest of the "Lady's Necklace quest chain", which will lead the blood elf player from Tranquillien to Undercity and later to the Sepulcher in Silverpine Forest.
The necklace shimmers, a remarkable piece of jewelry that doesn't seem to succumb to the gloom that permeates the Ghostlands. Given the inscription, and where you found it, it must be the lost property of Lady Sylvanas Windrunner herself!
Perhaps it would be best to first take it to High Executor Mavren at Tranquillien? He seems to be the highest ranking Forsaken in the area and is sure to know what to do with it.
You say that you found it on one of the Scourge at Windrunner Spire and that there's an inscription on it? Let me see!
Here, take this coin for a job well done.