During your task of fulfilling the third Nerevar prophecy the Ashlander busybodies send you on a quest to Kogoruhn, to get, among other things, the Shadow Shield.
http://www.uesp.net/wiki/Morrowind:The_Path_of_the_Incarnate
After you've collected the Corprus weepings and the cup, you're supposed to go deep within the structure, as you can see on the uesp page, however, the quest marker, seeking, apparently, the lesser number of "levels" you should pass, tells you to go to the other, faraway, Kogoruhn entrance inside the Ghostfence, which is far away from the location given by the Ashlander (that other entrance is mentioned on this uesp page: http://www.uesp.net/wiki/Morrowind:The_Citadels_of_the_Sixth_House)
This was confusing at first. Mind you, but after I got inside the fence (used my last levitation potion) and entered Kogoruhn though the entrance, it all turned out to my advantage - the Shield provides invisibility, and I can merrily make my way back to the "first" location, being invisible and laughing at the Ash creatures. Still, as you can see on the page that's not how it's supposed to go at all, and it might confuse some players.
#1
This can't really be fixed - game calculates the path to the quest marker automatically.