First of all, go to the Midden Dark and locate the area where the Daedric Gauntlet is in the center of a ceremonial circle. On the table there’s a book and a key, which explains what happened there and how to move the Gauntlet. Take the key as well and go to the Arcanaeum .
On the left side, there’s a chest with a Master lock (It’s called the " Investigators Chest "). Pick it or use the key you got and pick all 4 rings from inside. Return to where the Gauntlet is and put the rings in the following order:
- Little Finger - Pithiken's ring.
- Ring Finger - Balwen's ring.
- Middle Finger - Treoy's ring.
- Index Finger - Katarina's ring.
Afterwards, the Gauntlet closes and a Dremora is summoned. This is Velehk Sain. Throughout the talk, tell him you’re interested in his stash and then release him (or alternately see the note below to fight him). He gives you a map.
It doesn’t explain much, and it’s kinda hard to tell where it is, but leave the College, go under it where the sea is and follow the coastline WEST while looking NORTH to see a Shrine of Talos (a large statue). It is on an island to the SOUTH of Ysgramor’s Tomb , (the rather large island halfway between Winterhold and The Tower Stone ).
Head to it and under it is the treasure. When you approach, you’ll hear a chime . This allows you to see the stash. It’s mostly gems and rings and whatnot, but it’s good to sell. That’s it for this quest. You got yourself some goodies.
Note: You can choose to FIGHT and kill Velehk instead, but doing so only nets you a couple of schimatars , a Dremora Heart , and some clothing ( Hammerfell Garb ). Now you know.