Skyrim has problems with this. I was in Windhelm solving the murder in the middle of joining the Imperial quest. It struck me as really odd that I was wiping out Stormcloaks but could then help them solve their murder problem. I am playing through Skyrim for the second time now as the first time, when the dark brotherhood kidnapped and put in me in the shack I thought "screw this, nobody tells me what to do" and killed the dark brotherhood member instead. I then took the mission where you wipe out the Dark Brotherhood den so didn't get to do any of those missions. On the second time I just joined the Dark Brotherhood just so I could do those missions. Seems like in Skyrim if you want to do all the quests you have to be bad.