I found the ghost of this adventurer who's aiding me (sort of) in acquiring these aetherium shards in order to gain access to an ancient forge. I found the first in previous travels before I even met this ghost. The ghost led me to the second. The third shard was locked in a storeroom by the border with Morrowind, right by where you discover where the Staff of Magnus is for the College of Winterhold questline.

The fourth shard is proving to be a tough one. Clairvoyance spells are useless and the quest beacon on the map for it does not exist... although finding the fourth shard appears in my list of quests. So all I have to go on is the ghost's journal, which seems to point to one of two dwemer ruins southwest of Windhelm.

Another curiosity is that, I've been in that storeroom before (where I found the third shard), and I'm sure I would have found it the first time. But the first time was also pre-Dawnguard, which I downloaded mid-game.

I like this quest, but without further direction or insight, this one might remain in the incompleted column.

The fourth shard you are looking for is in Radlbtharb.

As to not finding it before, it was not there before DG. Just like I am sure you have seen the site of the forge before, but it has changed since DG was added. In fact, when I stumbled across it after loading DG I went "hey, I've never seen this thing here before, wonder what it is?"

Okay, thanks. I'll look into that. Still not sure why there's no quest beacon for this, however. Just one of those things, I guess.

It's intended. The only shard you're ever directed to by quest logs/arrows is the very first shard in Arkngthamz. The rest you need to find on your own using the journal and your map. Same with the forge. It was to sate the appetite of players who complained that TES is becoming too hand-holdy and that they want it to go back to the way it used to be. I, for one, very much enjoyed this quest, and I hope they continue making quests like this in future DLCs. If I had it my way, the entire game would be like this.

yup...same place you kill elain dufont for the dark brotherhood

I second this. It was a great throwback to the old frustrating directions of Morrowind, exploring the countryside.