There are four entrances, at various places along the Thundermist Road in Thundering Steppes. The entrances are called terraporters.
To enter, you must first /claim a darkened shard and inspect it, to receive the quest A Darkened Shard. Then click one of the terraporters to enter.
Another version of this zone, called Captive Audience, is triggered if you are hit by a Tesch Mal abductor (level 20) before you manage to click on the terraporter yourself. NOTE: The Captive Audience instance does not contribute toward your Splitpaw access quest.