you can find them in lake arrius caverns
The Mythic Dawn assassin Kingston Marsh, who was killed immediately afterward.
if u go down the main mission ule find there hidey hole
you take the books to one of the women in the arcane U., then when she deciphers all of it, follow what she says.
get yourself up to at least lvl 20, then go and search the mythic dawn's base. You will find it there.
After Baurus meets the Mythic Dawn, and you are up on the bridge sniping them, go straight across from there to another room where the agents have been staying. There are a couple of beds, chests with nice items, and some Mythic Dawn clothing and several Commentaries.
in bruma go to jearls house she is currently on holiday but she works with the mythic dawn she's got the commentaries 1 & 2. when you get in the house there will be a table moved to the side and a trapdoor showing go down it and into the basement and i think the books are in a chest or on shelf. and also there is another door in the basement that connects to a cave but all you''l find in it will be rats and crates and i think a chest. but remember this i'm currently on oblivion a necromancer scouring the lands of cyrodiil in secret searching for a way into the mythic Dawn Cult without doing storyline but i've only found jearls place who has them i don't know if she has came back from holiday yet though lol. she's a mythic dawn spy by the way i found a plan from the mythic dawn telling jearl to set up an oblivion gate infront of bruma lol but i'm gonna get out of bruma before it happens lol. and one more thing if you find mythic dawn commentaries 3 & 4 without storyline plz type in how to in like a site with questions about this. hope you find my info useful thx.
No there is no possible way but when you get to the point where you have to steal the book if you steal it without being caught the people at the base wont attack you but they wont give you any quests or anything. There is one way that I've found, but I suppose it's not actually 'joining' them. You can permanently be in the Mythic Dawn, but you won't receive any quests. Only thing you get from it are 4 faction related dialogue lines, a disposition drop in the blades, and a disposition raise with the other members of the Mythic Dawn.
The easiest way will be just do the story missions and not to do secondary missions.-----You just do the main quest, you should close the big oblivion gate, get to paradise (as Mankar Cameron and the mythic dawn refer to it) and summon akatosh, the huge dragon god to defeat Mehrunes Dagon (Big demon-looking dude).
its possible that they will make one but currently no
There is a way to get it all back. I never did it so I'll just give you a URL for a walkthrough. I always left all of my stuff at a house or something, but anyway here's that URL. http://www.uesp.net/wiki/Oblivion:Dagon_Shrine This is an extremley helpful site by the way. It helped me a lot in this game.
Either buy them back, or go to the Lake Arrius Caverns where the dagon shrine is, and look around in there. I have all the books (actually i have about 150 copies of each) but I found 3 books, 1 2 3, sitting ride beside each other.