Looted from Deathbringer Volar in Sancremor Nagasel.
After Volar has been defeated, the scythe can be crafted at an Anvil of Zenithar using the following materials:
Deathbringer Volar in Sancremor Nagasel
A Dremora by the name of Dregas Volar can be encountered in 'Morrowind'. He can be found in a location only accessible using the Daedric Sanctuary Amulet and is the last user of the Daedric Crescent. Dregas Volar can also be encountered in Legacy of the Dragonborn in the same way.
Daedric Scythes have never been seen in Tamriel in a complete state, but their hafts were sporadically found during the Second Era, as they were considered contraband.