How do I give Malborn the items to smuggle into embassy?

Do I open the inventory and just click on items I want to send?

when talking to him, it should bring up a menu like if your trading things with a follower. There you can give him what you want to have at the embassy. note that stuff you don't give him will be taken from you by Delphine and she will hold onto that stuff back in Riverwood.

If you plan on giving him everything, be careful. I had a dragon spawn at the stables as I was meeting Delphine. I had nothing but my small clothes and no weapons. Talk about an epic fight lol

^what he said

Usually for that quest I take a follower with me to Solitude, give Malborn everything I wanted smuggled into the Embassy, and then *after* Delphine gives me the "party clothes" and tells me to put them on I walk away from her and into that little tower where the mill is across from the stables and change into them. Then I immediately give everything else I have to the follower and tell them to wait there. Only then do I go back to Delphine and tell her I'm ready. She "takes" my stuff but there's nothing left for her to take. No way I'm gonna let her take my stuff back to Riverwood, and then haul my butt all the way back there afterwards to retrieve it.

If you do that make sure you remember to give all your gold to your follower as well, because if you keep it on you Delphine will take it and you'll be penniless until you either trek all the way back to her inn to get it or find another way to make some coin until you get there.

Of course the other option, if you already own Proudspire Manor, is to leave everything of importance to you (aside from what you give Malborn) there and just go back to Solitude and pick it up later. It's a much shorter walk than the one to Riverwood.

But yeah if you don't use a follower, that trip from the city gate down to the stables can be nerve-wracking if you've given Malborn all or most of your gear and stashed away what you kept to prevent Delphine from taking it. Even with a follower to carry your stuff... on my last game I'd just put on the party clothes and given my follower everything else I had on me when a dragon decided to attack. Fortunately there were plenty of guards around, I had spells, and my follower had a good bow and arrows cuz Delphine didn't do jack to help kill it as far as I could tell.

actually in an ironic twist, Delphine is in that moment rather useful.

I think (this may have been patched) she takes quest items from you. Including left over quest items that for some reason could not leave your inventory. But again, this may have been patched or repaired through the unofficial patches.