Inside the cave you will receive a warm welcome - everyone thinks that you're there to join them. The first priest will open the door for you, the second will tell you about your initiation as a member. Agree to his proposal, giving him all your stuff (you'll get it back eventually, but if you don't feel like parting with everything you've got then just drop some stuff on the ground before actually talking to him) and wearing the red robe. Follow him to the shrine. You'll witness a speech made by Mankar Camoran. Get on the "stage" when you are encouraged to. You have to make a sacrifice in order to become one of them. You can follow the order and slay the Argonian or disobey and start killing everyone. Either way you won't be able to leave here without raising the alarm so it doesn't really matter what you choose. You have to do 2 things: kill Harrow (he's got all your stuff, remember?) and steal the book Mysterium Xarxes. While you can sneak kill the wretched Dunmir, the book can't be stolen without somebody noticing. Just grab it, then, and run for your life, following the path indicated on your map. Once you leave the cave, go back to Cloud Ruler Temple and give the book to Martin.