After you exit the cave from Helgen Keep, you travel down a path watching the Dragon flying towards Riverwood.
The first road to the left will take you near a bandits camp. In this camp are three bandits, one being an Orc chopping wood.
After dealing with these three, I am looking around for the ax the Orc was using, but it is nowhere to be found.
Of course you can get an ax near Embershard Mine or Riverwood, but it just seams odd the Orc is using one but it comes up missing. It has no effect on the game but seams wrong.