The Frozen Man is an insane Bosmer ghost found in Orkey's Hollow. He says he was in a group of people inside the cave when it began collapsing, killing him in the process. From the items gathered in the cave, it can be assumed the Frozen Man was a mage and a member of the Aldmeri Dominion before his death.
This insane ghost is believed to have imprisoned a Nord named Eiman in Orkey's Hollow after he ventured into the cave try and find the Frozen Man. Rolunda, Eiman's sister, asks the Vestige to rescue her brother. In the cave, the only way Eiman can be released from imprisonment is if the Vestige agrees to play the Frozen Man's games, which are guessing his identity based on three items found within the cave, and finding the real Frozen Man when he uses three illusions of him to try tricking the Vestige. After he is convinced to let Eiman go, the Nord can be brought back to his sister.