Leon spoke of a method to enter the Cold Valley of Yilushier, which involved obtaining a specific item.
That is, the "Little Puppet" given to a church-dressed figure by the Cold Valley force seen in the image after defeating Overlord Vonier.
As for how they learned about this...
Sain Dungeon, on the Yilushier Bridge.
[Those without the puppet item shall not enter Yilushier]
"Captain, why didn't we notice this message when we first came here?"
Berto from the Skyrim Strategy Group stared at the conspicuous advice on the ground and asked.
"Yeah, why didn't we see it?"
Luluwo rubbed her eyes, wondering why they didn't spot the obvious tip lying on the bridge during their first visit.
For a moment, she doubted whether her eyes were real.
"I guess I've really been too exhausted lately..."
Indeed, the means to enter Yilushier was inscribed as advice on the bridge from the start.