Malborn

 is Delphine's contact for getting into the Thalmor Embassy. He is located in the Winking Skeever in Solitude.

He offers to get you in, but you must bring minimal gear, as the Thalmor are tight in security. The guards do however manage to sniff him out, and confront you in the interrogation chamber with him at swordpoint. Saving him from them can be a bit tricky, due to his tendency of getting in way of your attacks.

One way to rescue Malborn is to kill the two Thalmor already in the interrogation room before grabbing the dossiers from the chest, this will lower the number of attackers and make freeing him easier. Once you have the Dossiers, go back up the stairs and hide in the corner of the room, to the right if you have just climbed the stairs. This gives you a fair shot, and if you move quickly, you can sneak attack the Thalmor at least once before they spot you, possibly killing one (The 'Deadly Aim' sneak perk will almost insure a kill, if you're careful) From there, use your favorite strategy, though there is a chance that Malborn will turn and fight them, so archery is probably not the best plan once combat begins.

If he is kept alive during your escape, Malborn can be found in the New Gnisis Cornerclub in Windhelm. He says he wishes to escape to Morrowind, but believes the Thalmor have sent a Khajiit named J'datharr to assassinate him. If you kill J'datharr he will award the player 250 gold and leave Windhelm. When followed, he disappears when he reaches the Decree of Monument at Refugees' Rest, which means he has crossed the Skyrim-Morrowind border into Morrowind.