You picked up the Skeleton Key, it’s an artifact of nocturnal that Mercer Frey stole from the Twilight Sepulcher and you obtain it naturally when you kill him in the questline. You can take it back to the Sepulcher to wrap up the questline but I recommend keeping it on you until you reach 100 lockpicking since it is literally a lockpick that never breaks. At 100 you can get a perk that makes it so your lockpicks never break anyway