As soon as you enter this cave it splits into two directions and the right fork requires a key. Where can I find the quest giver to get this key? Thanks

That is used in http://www.uesp.net/wiki/Oblivion:Spies. It leads into the basemant of one of the houses in Bruma.

The key doesn't exist, anywhere, not even in the CS. The cave seems to be part of an unfinished quest, see http://www.uesp.net/wiki/Oblivion:Unmarked_Cave#Notes

You're thinking of http://www.uesp.net/wiki/Oblivion:Bruma_Caverns

http://www.uesp.net/wiki/Oblivion:Unmarked_Cave. There is no key for that door, however there is a possible way to get to that section of the cave. Just read the "Notes" heading part of the link.

Edit: Either paint brushes or considerably fortifying your acrobatics skill.