I must be missing one of the elements to get into the vault. It is the only quest I have left. Is there a scroll in the library that I did not find or what
Sounds like you have the quest to "get the rubbing from the obelisk" in the Vault of Ice. You can access the Vault of Ice one of two ways:
1. Follow the storyline and you will eventually get a quest from Shalek in the Entrance Hall to do the Vault of Ice quest. Then you can complete both of your quests at the same time. (The rubbing you need is in the fourth/last room in the Vault of Ice.)
2. Get a friend who has the Vault of Ice quest and teleport to them inside. NOTE: If you do this, you will still need to complete the Vault of Ice quest later anyway...