While the exit to Mzinchaleft is literally along the main road, you can only leave the ruins via this lift. Instead of poking around the small barred shelter that holds the Dwemer device, head up the hill behind it to find the surface features of Mzinchaleft. These ruins have been taken over by bandits, although the poorly-equipped locals haven’t delved within the ruins as far as you intend to go. You will find that the ground-level structures have been built in and fill a small former canyon, with a single downslope approach. You can attempt to gain access via the roofs of the structures, but this involves lots of falling and roof-creeping, and not all players are going to be adept at the needed skills to perform a secret entrance to the ruin.
Outside the front of the ruin sits a single guard by a table, watching the presumably only method of approach and eating idly. You can easily get the drop on him or her by archery or spellwork from one of the gorge walls. The farther you do this from the better, as there is only one wall between the guard and the other bandits lurking within the ruins.
After taking out the guard, enter the open gate of Mzinchaleft and sidle carefully down the hallway. Just around the end of the hall is the bandits’ dinner table, where one bandit sits and eats, another patrolling into view every so often. Anything done to take down this bandit will draw the attention of the others as well, so go ahead and take him out however you like. Four more bandits will follow- the patroller, another melee fighter from the patroller’s direction, and an archer/two-handed sword pair from another of the open halls leading to the front area of Mzinchaleft’s gorge-fort.
None of the bandits are all too dangerous, particularly not compared to the other battles that await you within the ancient Dwemer halls, so you can probably blow through them quite easily. If not, you likely will not be ready to handle Mzinchaleft itself either, and should return later with more force or more experience.
Once you’ve looted the bandits, check the boxes beside the dining table. While most of them are mere set-dressing, one is actually a chest topped with snow that may hold some valuable goodies. Use either door from this external hall to enter a small roofed walkway where you can see some bedrolls and a work table which holds a woodcutter’s axe. On the table near the axe is also a note titled ‘Mzinchaleft Work Order’. According to this note, someone has hired the bandits to retrieve artifacts from the ruins in exchange for a cut of the profit made selling the items. The employer has the advantage of knowing the buyer, which is being used to allow this ‘Maluril Ferano’ security- if the bandits kill him, they will not be able to sell the artifacts. At least, so he asserts.