This location is very near your entrance to the Alexandria map. You can take it then, but you'll also be back here during the Book of the Dead quest. Either way, there are several bandits with a higher level leader. Your location goals are to kill the leader and loot the single treasure on site.
The treasure is inside the cave here, which means eliminating or sneaking past the outside guards. Whichever approach you take, positioning yourself on the overhang above the cave entrance is usually useful. It's also a good vantage for snipe-killing the captain.
The treasure is at the very farthest point of the interior room, along with some other, more mundane loot.
With the captain dead and treasure secured, this location is complete.
Note that there's usually a horse parked outside, to continue your journey on.