Speak with either Skjor or Vilkas, and they tell you they have work that requires locating a valuable family heirloom that was lost to a high-ranking family in influential group friendly with The Companions. You are to go to where the heirloom is said to be hidden in Skyrim and bring it back to them. This is a randomized quest, meaning that the heirloom will usually be in different locations around the world when different players receive this quest.
Travel to whatever random location is indicated by the quest marker on your in-game map. There will usually be some hostiles blocking your path on both the outside and inside of the place in question, which will usually be a castle, keep or dungeon of some sort. Fight or sneak past them at your discretion. Your map marker will guide you to where the item is hidden; it will usually be in a chest somewhere. Now just take the heirloom back to the quest giver.
NOTE: a user posted a comment on another quest page on this site that stating that “once I am in the cave there is a waterfall that is at the top of the cave. Now it says I need to go up into the water fall but there is just no way up it”. The official game guide mentions nothing about this, and at the time of publishing this page no one else has described a solution to this on any of the other websites or user forums that I can find. If someone can offer any help with this waterfall problem, it would be much appreciated if you could leave a comment below with the solution. Thanks.