It's West Northwest of Gallows Rock. From the mill that is West of Windhelm, go south and you'll run across a cave that is guarded by two bandits. Head West of the cave (up the large snowy hill and fighting random wild beasties along the way) and the marker should appear on your compass very quickly. In fact, from the top of the snowy hill, looking West, you should be able to see the start of the step leading up further into the mountains about 50-100 feet from where you are standing. You'll know it's Raldbthar because there will be four random leveled Bandits guarding the outside of it.