How to get Conoon Chodala's Axe - Elder Scrolls: Morrowind
Conoon Chodala's Axe is given to you by Conoon Chodala inside the Cavern of the Incarnate during The Path of the Incarnate Story Quest. After you enter the Cavern of the Incarnate and watch the cutscene a series of ghosts will appear around the room, they are the ghosts of the failed incarnates... In other words everyone who previously tried to become the Nerevarine but failed. Conoon Chodala is one of these ghosts.
If you missed Conoon Chodala's Axe your first time here and are returning later use my map below. Additionally, you may already remember but incase you've forgotten - you can not enter the Cavern of the Incarnate unless it is dawn or dusk.