Urag gro-Shub wants me to find the Shalidor's Insights book for the Shalidor's Insights quest.
But my quest arrow doesn't point anywhere. I don't have a quest arrow that shows me where to go. Why could that be?
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Shalidor's Insight is found at a radiant location. At least one possible location is on Solstheim, the island that is added with Dragonborn DLC, and which can only be accessed by a boat that docks near Windhelm. If the quest marker is nowhere on the Skyrim world map, check Solstheim.
There is a long list of possible locations. The wiki page gives information on the book and links to ALL possible locations.
Good luck finding your book!