This is my second time buying this fantastically frustrating game and both times I've come across this door, explored it, got my ass kicked, said I'd come back and have forgotten where it was. Lol @ me!!
Its a black shiny door, like ones found in nord crypts, outside somewhere, I believe its in the side of a mountain and kinda in the water. When you enter your greeted by falmer shooting arrows and 2-3 more in water below where you come in. You drop down a waterfall and then greeted by chaurus. That's as far as I have got before I lost the door.
Anyone have any idea what I'm talking about.

I think you're talking about Darkwater Pass. I remember that place as fairly tough on my companions, due to the constant use of poisons by the Falmer.

Darkwater Pass?

Yeah, that is Darkwater Pass. Any of the Falmer locations are best not started until you are at least a well put together 8th level character or higher. Falmer start at about 7th level monster and are pretty tough, and they scale up after that. If you see the weird little stick with some strange scaly looking thing at the cave entrance then it is a Falmer location so be warned....

My first character started the Companions at first or second level and went to that cave outside of Whiterun on the first quest Farkas gives you. She took Ulfgerth the Unready who got killed and I died about 3 times before I decided to run away with Ulfgerth's armor which I used almost the whole game.