Now we need to go to either the Nightgale Inn or the Candlehearth Hall. Go to either of these and speak to the Inn keeper. You can either Bribe them, Persuade them or Intimidate them, or just wait around in the Inn. The Courier travels from both inns. He stays at either Inn for an hour, sleeps for another hour and then leaves to the other inn.
If you either Bribe, Intimidate or Persuade him, he'll tell you that he just left and that you might be able to still catch him. Leave either inn and go catch him.
He's got a marker on his head, which makes things a whole lot easier. Loot the body for the Stormcloak Documents and return to Rikke. She tells you now to go to Dawnstar.
Fast travel there and enter the barracks. Speak to Frorkmar Banner-Torn and the quest will end.