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also, have you got the Unofficial patches installed.
Install Unofficial Skyrim Patch from here: http://www.nexusmods.com/skyrim/mods/19/?
(to anyone complaining, yes, i know about USLEEP, but if you look at OP's profile, he doesn't have the DLCs)
It can fix a lot of bugs, but in order for it to work you'd need all the scripts to start again, which isn't possible without loading a save before you started the quest. So just install it to not get problems like this in the future.
SPOILERS AHEAD
Daynas Valen can be found in Folgunthur. It's a Nordic Tomb east of Solitude, on the marshes. Outside of the tomb there is a small, abandoned camp, where you can find the journal of Daynas Valen. It will update your journal with mission to "Learn the truth from Daynas Valen". He's in the tomb, you need to take the Ivory Claw from his inventory, take his another journal and read it.
He's meant to be dead.
There's your answer. I'd recommend getting them, Skyrim is full of bugs and glitches.