So... I found him after Diplomatic Immunity, and killed the assassin for him, so he could escape Windhelm and go to Morrowind. I tried to follow him to the border to help him through, but he went North-East (rather than South-East, towards the gate at the border). Eventually he ran into a sign a little ways NE down the trail from Windhelm, and just disappeared?! Well, that was the second time. The first time, he went NE and ran into a tree and disappeared. I went back to my last save to try again, and that's when he ran into the little waist-high plaque/sign thing, and was gone! I haven't been able to successfully get him to where he's going. Why?
(It's the Xbox 360 version, if that helps)
Also... can one marry Malborn? He's resisting all my advances, even with the Amulet of Mara!