anyone know why your arrested at the beginning of the game?

In fact, it's not that clear. Ralof suppose that we had crossed the border, entered Skyrim; maybe we were on our way to leave the country?

Now, what about Ufric? What was he doing here, supposedly near the border (although we could discuss the "border" topic), alone, accompanied by a fistful of guards? Was he trying to cross the border, to go to Morrowind, for example, meeting someone in secret? Was he lured here by someone ill-intentioned? etc.

All my characters since Morrowind have been a similarly looking male Dunmer, with the same name. When I play an Elder Scrolls game, I envisage that my character is the same one from previous games, therefore my Skyrim character is a 250 year old Dunmer.

This is what I believed, happened to him:
After Morrowind, he settled down to a life of luxury with his vast wealth. Sadly he had a problem with spending and had to flee Morrowind when his debtors tried to take his life(His skills had deteriorated dramatically from a lack of use). Bad luck seemed to follow the Nerevarine as his debtors had contacts in the Blades. This resulted in the Nerevarine being secretly imprisoned in the Imperial Prison and all his valuables taken to pay back his debt. Luckily the cell that he was in, was also the Emperors escape route.....

Following the Oblivion Crisis, he stood down as the head of various guilds and spent just under 10 years as the Daedric Prince of Madness. He soon discovered however that he was turning into Sheogorath. Using the help of Haskill and Dyus, he was able to pass on the Title to someone more worthy. Following this, he returned to Cyrodil just in time for the Stormcrown Interregnum. Due to the bitter in-fighting this caused, he was slandered and his famous exploits were called into question. As a result, he spent the next 7 years living modestly as a political adviser. When Titus Meade invaded the Imperial City, he had to flee to Valenwood where he believed he could settle down.

In Valenwood, he changed his identity, met a Bosmer and settled down in one of their cities. The Thalmor invasion of Valenwood caused some uncertainty but it helped to hide his true identity. Over the next century, he lived peacefully with his family and became a full citizen of the Aldmeri Dominion. He eventually became a civil-servant and worked for the Thalmor.

Things changed 4 years before Skyrim began. The Thalmor became more paranoid and began to delve into the past of their staff. When they came to the "Dragonborn" they found his mysterious past very suspicious. When they couldn't find anything from before he came to Valenwood, they declared him to be an Imperial Spy. Fearing for his life, he fled Valenwood. He originally planned to head for Solstheim but had to pass through Skyrim to get there....