First, you must obtain Information about a "Folklore" which will give you a hint in order to initiate your investigation.
"Folklore Information" can be obtained through actions such as "going to a certain location" or "browsing a book at the Archives." However, just by having "Folklore Information", the "Folklore" you've found out about still remains unclear and blurry...
That is why you would need to investigate and make a "Folklore Discovery" to make the legend crystal clear!
Once you obtain the "Folklore Information", you can start your investigation by receiving the Quest from Prince Henrique in Sagres. Progress through the Quest you received in order to make a "Folklore Discovery."
[Updated on July 12th, 2023]