In Morrowind, the Blades are a secret Imperial intelligence agency. I personally don't see them as the same organisation at all, they change so much. In Skyrim the Blades are an order of dragonslayers that go back to prehistory and who aren't particularly affiliated with the Empire. In Oblivion the Blades are the bodyguards of the emperor and go back to the Reman dynasty. In Daggerfall the Blades are a secret society founded by Tiber Septim with the goal of rebuilding the Numidium. It can be quite hard to pin down what the Blades actually are or what they do, because it radically changes from game to game.
To recap: Caius Cosades is the local head of the Blades, the Imperial secret service. I might also gloss over a lot of the make-work because, well, it's make-work. I'll provide links to the notes provided so you can read them, but I'll try to summarise the relevant information myself. This is a bit awkward, because basically the first half of the main quest consists of nothing but pointless make-work while NPCs dump vast gobs of exposition on you.
