He leads you to Clavicus Vile's Shrine.

He apparently followed me from somewhere near DB sanctuary all the way up to the northernmost portions of the map (remember riding past a dog on a road down south), after which he just appeared and initiated a converstaion in the middle of combat. He was happily spouting his "mafia henchman" accent and having 3 forsworn hacking him at the same time. The I was required to follow him to "his master" (don't remember the deitys name), and because I had no idea he had come all the way from down south I followed. Reckoned it can't far where he is taking me. So we ran, with him constantly stopping and laying down on the road, and attacking everything on the way (I had to clear several bandit outposts because the dog just couldn't resist them, nor the other enemies) -- and all the way I thought: [censored], it can't be much further anymore, it just doesn't make any sense for it to be. And approximately three quarters of an hour later, we were finally there. Whoever at Bethesda thought it was a good idea to have questgivers follow the player (especially with the [censored] AI and pathfinding the NPC's have) instead of letting the player initiate the quest, deserves a spanking.

it didn't help that he wasn't doing any damage to anyone in the fights (or at least so little, that it isn't worth mentioning), but had about a million points of health so he didn't even die. And I couldn't even initiate dialog with him at all until we arrived to the deitystatue.