Are them artificial or natural ? because I see also around in some scattered uncivilized places...are like the http://www.toptenz.net/wp-content/uploads/2012/06/giants-causeway.jpg of Northenr Ireland?

Yeah, they're natural. They are a result of some sort of volcanic activity, don't ask me what though!
Whether or not this is correct for the type of volcano on red mountain, IDK.

They're http://en.wikipedia.org/wiki/Basalt It is indeed strange for them to form in Solstheim though, unless the eruption actually hit Solstheim with lava. It'd make more sense if they were limited to Vvardenfell and the coast of the mainland.