This has sparked new speculation that this could be the first of Skyrim's DLC expansions, hinted at last month by Bethesda's Todd Howard. He also said though that any DLC would have to improve the game, not just add content as god only knows there's plenty of it already.
For the lore buffs among you, Mythic Dawn Guards appeared in the previous Elder Scrolls game, Oblivion. They're apparently members of the Mythic Dawn cult, which worships Mehrunes Dagon, the daedric prince of destruction.
Any DLC for Skyrim would first hit the Xbox 360, as Microsoft has a timed-exclusivity deal covering the first two expansion updates for the game.