Yes, the quests are adjusted to your level. The Commander in the Mehrunes dungeon is leveled to be appropriate for your character. If he is too tough, it is a problem with your character. Now, bear in mind that the type of character you play may affect things as well. Warrior types are pretty strong early on, but can become tedious later if they don't embrace enchantements. Mages start off weak, but gradually grow very powerful as you carefully groom their spells and tactics. Sneaksters/archers can be a challenge at any level unless you embrace either a blade or some magic to back up their bow.
Sorry can't be more specific, but without knowing your character's level and skills and the nature of how he is losing, it is hard to diagnose or prescribe how to help him.
Fixing the problem you describe falls to a couple of philosophies. One says get deeply into how to optimize attributes, skills and equipment and put plenty of emphasis on carefully building a strong character. The other philosophy says play the way you want and don't sweat it. If a fight is too tough, squeak the difficulty slider down when/as required. Obviously, that is the extreme end of things and many players find varying degrees of middle ground.
Loads of experience with the game and studying the forums and wiki can help as well. Those who do so often find their challenge has come full circle; that is, how to gimp their characters to retain a desired level of challenge. Newer players tend to struggle figuring things out. Intermediate players tend to successfully build very strong, uber characters. When they grow tired of a lack of challenge, they graduate to advanced players and start intentionally building in weaknesses into their characters to retain the challenge.
Sorry so wordy. Hopefully somewhere in there you can find a couple ideas to follow up on.