For finding Umbra, you'll have to search south-west of the Imperial City for an Ayleid Ruin named Vindasel. When you find it, enter and there she is. She's not aggressive, and won't attack on sight, however she will try to kill you if you attack her. (and probably succeed, if you haven't taken any precautions, as she is, more than likely, the most powerful NPC in the game).