Found a corpse in a bandits cave, it added a quest , Leifneer's Death.
Whom do I notify and where?

Well, you probably can't turn it in (this appears to be one of the quests that bugs for most people). You should reload to a save BEFORE you discovered the body. Then go to Heartwood Mill to the west of Riften, and speak to Grosta. THEN go find the body.

Sorry correct spelling is Leifnarr.

True, but that doesn't change the advice I gave you for how to handle this.