The Imperial Library

At some point in the game, you get attacked by a zombie right in the middle of a street. After you defeat the poor thing, there's a notice right on its decaying flesh. The notice invites you to visit King of Worms in his underground place, and possibly do a service.

When you arrive to Scourg Barrow, King of Worms asks you to retrieve a soul of a certain undead wizard for him.

Well done Qwerty. I am sure the prince will be most cooperative. Please accept this (magic item) as a token of my appreciation. In addition, I have decided that it is time for someone outside of Tiber Septim's line to know the truth about the Underking. As you know, Tiber Septim was the first emperor of Tamriel. Toward the end of his wars of conquest, he betrayed his Battlemage, Zurin Arctus. When Zurin died, his soul refused to leave his body. Something to do with the mysterious Numidium. Since that time Zurin Arctus has lived on as the Underking.

The Underking and his agents have been a thorn in my side for centuries. Just remember, should the Underking regain his mortal body, he would surely throw all of Tamriel into conflict.

Next: What does Underking have to do with the mession?