This Stalhrim crafting quest starts after asking Deor about Baldor in Skaal Village

You heard some rumors that the Skaal Blacksmith is missing. Ask Deor Woodcutter for more information. He reports that he saw a pair of elves dragging something through the woods the same day Baldor Iron-Shaper went missing. They went south and west, and if your road takes you that way, perhaps you could search for any sign of Baldor. The Skaal would be grateful.

This starts the Stalhrim mission: A New Source of Stalhrim. The first objective is to search for Baldor Iron-Shaper. Open your map and locate the quest marker, should be north of Raven Rock. Fastest way to get there is to fast travel to Raven Rock and go Northeast. Head to the area, and them look for the Abandoned Lodge, an abandoned shack in the middle of the wilderness. Here is how it looks like:

Skyrim Dragonborn Abandoned Lodge

There are some Thalmor Soldiers guarding the lodge, kill the Thalmor soldiers. Loot them. One of the soldiers carries the key to the abandoned lodge home, which is requires to gain access since the front door is locked. When you find the Abandoned Lodge Key, enter and look around. Suddenly you hear Baldor calling: "Please, someone, help me!"

Go down a staircase/ladder in the corner and talk to Baldor Iron-Shaper. He remembers you as the one who freed the Skaal from the dark spell. He tells you that the accursed elves have taken him away from his home.

Your options are:
Are you hurt badly? Do you need healing?
Why would the Thalmor abduct you?

Ask him if he is badly hurt. Baldor Iron-Shaper tells you his wounds are not serious. He does not think the elves were trying to harm him. Perhaps they intended to frighten him. At worst, he has a few bruises to show for his ordeal.

Ask Baldor why he thinks the Thalmor would want to abduct him. He says they were trying to learn the secrets of forging Stalhrim. Their leader, an elf named Ancarion, has a map. He says that it shows the location of a hidden source of Stalhrim.