In a nutshell, Ysgrammor sailed to Skyrim from Atmora from a Cival war, There he met the Native elves there the Falmer, They became freinds for a while.
Men started to flourish in Skyrim and the Elves saw this as a threat to there Civilization and started a mass Cull, Ysgrammor fled back to Atmora and returned with an army known as the 500 Companions, There he and his 500 slew the Falmer and they decended underground to escape the 500's onslaught.
The Dragon wars is in a nutshell in this book http://www.uesp.net/wiki/Skyrim:The_Dragon_War
The Blades origin stem from the Akavir Invasion that happend at the end of the first Era, Tamriel was invaded by them but the invasion was halted by Reman I and his armies. The Akaviri forces were destroyed and those who remained living were offered amnesty to fight for the empire. The Akaviri who took amnesty later played important roles in Tamriel's growing society and became the Blades.
What we know now is that the Akavir at Pale pass in Cyrodil recognised Reman as a Dragonborn and laid down there arms and proclaimed him there Emperor.