Skyrim:Find the Thalmor Assassin

Quick Walkthrough
# Talk to Malborn after the quest Diplomatic Immunity.
# Locate and kill the assassin.
# Return to Malborn.

Detailed Walkthrough
An Old Friend
If you manage to get Malborn out of the Thalmor Embassy at the end of Diplomatic Immunity, he will run all the way to Windhelm seeking shelter in the New Gnisis Cornerclub, a Dunmer tavern located in the Gray Quarter. Due to his treachery, Malborn is obviously blacklisted by the Thalmor, and has decided to flee to  Morrowind; however, every time he tries to sneak out of Windhelm, he sees a suspicious Khajiit outside the gates. Convinced that the Thalmor have sent an assassin to kill him, and still blaming you and Delphine for putting him in a tight spot, the scared Malborn is now stuck in the Cornerclub and will request your assistance to get him to safety.
thumb|right|An assassin waits for his prey outside Windhelm
A Stranger in Their Midst
Malborn will not provide a description of the supposed Khajiit assassin, just that he is standing outside the city gates. Your map marker will disappear when you exit Windhelm, so cross the pathway and make your way to the Khajiit trading caravan camped behind the Windhelm Stables. You will find the caravan leader Ma'dran in his tent and his fellow Khajiit roaming around, offering their services. Start asking around and one of the more talkative Khajiit, Ri'saad, will point you towards a stranger in the group called J'datharr, who stands on the fringes, away from the others. When approached, J'datharr will try to brush you off. You can tell him you have a message from Malborn: "Malborn? Ah... very good. I think we understand each other" and he will blow his cover and attack. The  Khajiiti caravanners will not intervene on either side, so it will be a simple duel to the death. After the kill, loot his body and read his note, obviously written by the Thalmor. Lastly, return to the Cornerclub and tell Malborn the good news. He will be grateful and will reward you with some of the gold he stole from the Thalmor. He will then leave Windhelm, head towards the safety of Morrowind, and disappear from the game.
 


Notes

There are only two events needed to start and complete this side quest.  

1) One is that the assassin is somehow dead at the presence of the Dragonborn.  Who kills him does not matter: for example, when he fights a dragon, he may be killed by the dragon.  When he is killed does not matter: for example, he may "safely" be killed even before the Dragonborn has "discovered" Windhelm (hence before having a chance to talk to Malborn in Windhelm).

2) The other event is that the Dragonborn starts a conversation with Malborn in Winhelm. If the assassin is already dead, the Dragonborn will be given only one dialog path, which leads to Malborn thanking the Dragonborn and immediately leaving Windhelm, thereby starting and completing this side quest at the same time.  Otherwise, Malborn will ask the Dragonborn to make the above event happen.
 
Immediately after learning of the assassin's death, Malborn starts running out of the city.  It's possible to "escort" him all the way to Refugees' Rest.  If there are no enemies nearby, as soon as he reaches the podium with the Decree of Monument on it, he disappears from the game.  However, there are permanent hostile creatures (frost trolls) on his escape route, who - if not cleared in advance - will get activated due to the presence of the Dragonborn.  Random encounters such as vampires may also spawn thanks to the presence of the Dragonborn.  Malborn may either try to flee from combat, or fight aggressively with his bare hands or whatever weapon he picks up from a dead body. He can easily get killed if the Dragonborn can't clear a path for him quickly enough.  If the Dragonborn wants him to be dead, "escorting" him outside the city gates is the only way other than murdering him.

The Thalmor assassin may carry an object titled  . It is unknown whether this will affect gameplay if taken. When dropped, it turns into a large red square with a pink exclamation mark inside it and cannot be picked back up.

The quest can be started at any time after Malborn arrives in Windhelm.  It does not matter how long the Dragonborn waits before meeting and/or talking to Malborn again.  When the Dragonborn arrives in Windhelm, however, a 24 hour timer starts, regardless of whether the Dragonborn talks to Malborn or not. Ri'saad's caravan (which normally travels between Markarth and Whiterun) will be placed outside of Windhelm, and Ri'saad is the only character in game who can be asked about the assassin ("I'm looking for a Khajiit... might be a Thalmor spy."). If the Dragonborn lets the 24 hours pass without talking to Ri'saad outside of Windhelm, his caravan will be reverted to the old route, and Ma'dran's caravan will once again camp outside of Windhelm.  Without someone pointing the Dragonborn to the assassin, the name of Malborn cannot be mentioned during the conversation with the assassin.  Hence, a message from Malborn cannot be delivered.  The only thing left to do to advance the quest is to kill the assassin or get him killed, and then loot his note (or use the console, see below).

Since most of the time this assassin is the only Khajiit near the Windhelm stable, who should be dead is typically very obvious.

Bugs
 
 
Killing J'datharr will advance the quest. If you don't want to just attack him in cold blood, cast Frenzy on him; even if his level is too high to be affected, he will turn hostile, allowing you to kill him and continue the quest.
 You can circumvent this by opening the console and entering  . This will place a quest marker on the assassin and allow you to talk to him. After picking "Malborn has a message for you." he will turn hostile and you can kill him normally.
 
 
Killing J'datharr will advance the quest.

Quest Stages