It was created by the Dwemer. They had found a way to go "upstream" in the universe by reuniting with "the first brush of Anu and Padomay".
They, as an entire race, attempted to unite themselves into the giant golem as one, single entity, then give it divinity via the Heart of Lorkhan. Its golden skin is/was made of Dwemer souls.
The thing is meeeaaan. Vivec gave it to Tiber Septim, but without its "battery", the Heart of Lorkhan. Instead, Tiber powered it with either the heart of Zurin Arctus or King Wulfharth, depending on which version you believe.
It absolutely decimates whatever it goes against, except for something that is a part of it, which is why either Zurin or Wulfharth (again, depending upon which version you read) fought it and blasted its "lifeforce" into Aetherius.
Don't mess with the Numidium. It is a god with a remote control capable of creating entire parallel universes and Dragon Breaks. In fact, it created the entire Imperial race after Tiber/Arctus and/or Wulfharth entity reunited and became Talos. Talos then spawned the Imperials, which did not exist until TES III.
A very, very good article is Luagar's http://www.imperial-library.info/fsg/luagararticle1.shtml, which details the thing and its uses/creation a bit.
Hope this helps.
___TWM