Each Stronghold has a propylon chamber and w/ the indexes you can travel from each stronghold to another (especially useful as a vampire)

Here are their locations:

Andasreth Propylon Index-On a shelf, in Hlormaren, left side of the slave.

Berandus Propylon Index-Arvs Drelen(Gnisis), on the bookshelf behind the sorcerer.

Falasmaryon Propylon Index-Temple(Maar Gan), on the tray of offerings.

Falensarano Propylon Index-In Maelekashishi, in the forgotten galleries, by the skeleton w/ the Daedric Longbow. (You have to levitate to the top)

Hlormaren Propylon Index-Bought from Irgola the Pawnbroker in Caldera

Indoranyon Propylon Index-On the table next to Divyath Fyr (Tel Fyr)

Marandus Propylon Index-Found in Vivec, St. Olms Canton, at the top level, in the Temple. Go into the storage area, and pick the lock on the level 10 door(right side)

Rotheran Propylon Index-Kill the guy in the communal hut at the Rotheran stronghold for the index.

Telasero Propylon Index-Go to the bottom floor of Telasero and cast night eye, it's in the right trough.

Valenvaryon Propylon Index-On the table next to Nibani Mesa, at the Ulikashiku Camp.

Master Propylon Index (PC Users Only)-Go to www.morrowind.com and download the Official Plug-In (The Master Index Quest), then go to Folms Mirel in the Caldera Mages Guild. He will give you a quest where you will have to find All Ten Propylon Indexes, then after you collect them, he will give you The Master Index which will allow you to Travel from the Caldera Mages Guild to any of the Dunmer Strongholds.