Blades Quest 2: Hasphat Antabolis
Once you're ready, ask Caius for some "orders". He'll send you to the Fighter's Guild to get some information from Hasphat Antabolis, who's something of a historian. The Fighter's Guild is west of the river in Balmora, across from the bookstore, and next to the Mage's Guild. Hasphat on the lowest level.
As Caius had warned you, Hasphat wants a favour done before giving up the info. He wants you to go to the Arknghand ruins to the northeast and fetch a Dwemer Puzzle Box.
Head south out of Balmora, and cross the two bridges to go east. You'll see a sign pointing north towards Caldera — follow it, but keep to the right and follow the path uphill (towards Molag Mar). You'll come to a bridge, and this is where things get tricky.
The first time you cross this bridge, you'll be attacked by a man on the other side. He'll use magic, and summon a skeleton to attack you. Don't worry about the skeleton — focus on him. Once he goes down, his summons will also. Once he's defeated, continue across the bridge and up the path on your right.
You'll come to a crank on your left. Turn it to open the door up ahead. Once inside Arknghand, descend the rocks to the lowest level of the room (you'll be attacked by a couple of outlaws.) Then, right in front of you will be more rocks. Climb them to the top, then go through the nearby door (Cells of the Hollow Hand). You'll be attacked immediately by Boss Citra. Defeat him, and get the Puzzle Box from one of the shelves in the room.
Return the box to Hasphat in Balmora. He'll tell you what Caius needs to know, and give you some notes to pass along. Return them to Caius to complete this quest.