Morrowind

After getting equipped, return to Caius and ask about your "orders". Caius will mention that he needs information from a man named Hasphat Antabolis in the Balmora Fighters Guild. Caius will also mention that you will most likely need to do a favor for Hasphat before he will tell you anything. Before you go, Caius will give you access to any books in his house. To get to the Fighters Guild, cross the northernmost bridge …

…in the wrong room.), the Puzzle Box is on the bottom shelf to the left of the door (as you enter, right if you are facing the door. I assure you that the box is in this room on one of the shelves, It is the size of a rubics cube. If you can't find it, check every shelf). Grab the box and backtrack out of the dungeon. Return the box to Hasphat in Balmora.