Speak to Gunmar, usually in the first level of Fort Dawnguard, sitting near the grindstone/workbench. If he is not in the smithing station, then he is either in one of the beds, or wandering about the fort. Ask Gunmar what you can do to help.

Cleansing Light
Gunmar has sent me to destroy the Master Vampire at Shriekwind Bastion

Kill the Master Vampire at Shriekwind Bastion

Note: The location you get could be random, but other than that the objective is the same and you will always have to kill a leveled vampire.

Shriekwind Bastion is North/North-East of Falkreath, but the dungeon is random so you might have gotten a different one.

Travel to the dungeon and fight your way through it. Enemies in the dungeon will be monsters native to the dungeon, but the main difference is that it might be sprinkled with vampires, and also towards the end of the dungeon you will encounter the vampire you are after.

Once you have killed the Master Vampire, the quest will complete and you will have to return to Gunmar in Fort Dawnguard. Back in the fort, tell Gunmar that the Master Vampire of Shriekwind Bastion has been destroyed. You will receive a random weapon or armor piece as a reward.

You can ask Gunmar again what you can do to help to receive additional side quests, such as "Hunting the Monster".

This completes the quest, Cleansing Light.