Dimfrost is a location added by Wyrmstooth. It is an unmarked location deep below the island, resembling Blackreach but with volcanic activity. While the miners at the Imperial Mining Settlement had broken into a Dwemer ruin that leads further down to an alcove overlooking Dimfrost, the only way down to the floor is through the shaft in the crypts of Wyrmstooth Barrow.
To find the dragon's den, stick to the road once you emerge in Dimfrost. Where it forks, head right down a hill towards the water and continue on towards the Dwemer Citadel. A large, glowing orange globe suspended above the citadel should be visible from a distance. Look for a door leading to the Luminatory and proceed from there.
Several large, lootable dungeons can be explored here, including the Boilery and the Animonculatory. A lot of loot can be obtained by returning to Dimfrost once the dragon has been defeated.