The Mysterious Man wants you to infiltrate the Thieves' Guild.
Experience farming glitch:
1. Walk to the area where the guild is transporting the goods and talk to the leader, once he is attacking you back off east until you get to the edge of the area, walk a few more spaces and there you go, the bandits cannot go past the edge of the area. For some reason they will also never die so you can farm them for however long you like.
Best means to farm them:
1. Buy a blank wand and give it 100 charges of fireball, skill level doesn't matter
2. Get the spell recharge wand (you could also buy wands of recharge wand) NOTE: Wands of recharge wand cannot be recharged by any means.
3. keep spamming fireball and keep killing the bandits, every time you kill them you will have to click ok on the message that you received the goods and you will also have to drop them after farming since you probably won't be able to move.
4. You can still continue to farm them even after you complete the quest, they just don't die.
Talk to the innkeeper at the Port of Vastares
1. Once you have the smuggled goods, go to the inn at the Port of Vastares.
2. Talk to the innkeeper about the goods.
3. He will tell you to wait till midnight. Choose the option to wait till midnight.
4. When you step out of the inn, suspicious men will bundle you off to the Guild Lair.
5. Talk to the leader of the thieves and convince him that if he recruits you, he will have the perfect thief at hand.
6. The leader will give you a mission to infiltrate a rich man's house and steal some jewels - the condition for becoming a member of the Thieves Guild. This will lead you to the Rob a Wealthy Family in Mithria Quest.