The Explorer began life as the youngest of three in a little Breton village in High Rock. He was always scrawny for his age, and his older brother and sister often picked on him for it. To escape, he took to exploring the ruined forts and castles nearest the village, and found he had a knack for staying out of sight.
When he got older, he began to hunt game and dared delve deeper into the ruins each time. He stumbled upon a bandit camp that had taken up in one of the forts, and overheard the bandits planning to attack his village. Taking up a dagger, he stealthily went to each of the bandits, when they were alone, and slit their throats. He was caught when he got overconfident and didn't sneak up on one of the larger bandits, an orc. He earned a blow across the jaw, and went sprawling into the dirt. He could barely take up a discarded sword before the orc was upon him, swinging a greatsword with deadly intent.
What seemed like an hour was likely less than a minute; every blow the orc made, the Explorer dodged or ducked, and couldn't help the adrenaline he felt. Finally, his chance came, and he drove the sword up unto the Orc's chest, toppling them both over. But at last, it was over. The orc was dead, the bandits were ended, and the Explorer had a new addiction.
For years, he would seek out other groups like this, holed up in forts and old ruins, and he made a game of it; he'd steal what he wanted from them, and kill any bandits he found. He got good at taking his time and killing silently, but his love for the fight never waned; he never passed up a chance to duel someone. He began to wear armor when he went exploring, mostly the discarded shards of things from those he killed or robbed.
His luck ran out, however, when a bandit he missed followed him back to the village. Within days, there was a veritable army of bandits and cutthroats coming for them, and the Explorer panicked. He warned his family of the danger and ran, heading south-east to Hammerfell, where he could continue his exploring habit. Another year there, and he heard tell of the ancestral crypts and caves dotting Skyrim, and his mouth watered.
The Explorer was captured, as he crossed the border into Skyrim, and taken to Helgen for a mistaken identity. After escaping, he resumed his search for places to explore. After learning he is Dragonborn, he will take a whole new interest in Skyrim, and seek to pluck every last secret from it.
The Explorer build uses heavy armor for maximum protection, while using archery as their main offense. If enemies get close, they switch to a one-handed weapon, usually whatever is strongest, and fight using hit and run tactics. Seek to dodge rather than block, and keep a healing spell at the ready if possible. When not fighting, an Explorer will keep their bow at the ready to take advantage of range and sneak attacks, but will switch to a dagger if need be. Always choose to dodge or hide, rather than block or rushing the opponent. Utilize shouts that work for your play style as need be. If you get overwhelmed, summon an atronach or raise the dead to get some heat off your back, but remember that you work alone. Avoid followers that get in the way too much, but don't be afraid to bring some meat shields if the place is dangerous.
You'll want to take the Thief or Warrior stone at first, but switch to the Steed stone when you can; more carry capacity means more loot!
The ideal race for this build is Breton, as you'll be dealing a lot with magic and cross-class play, since you're a heavy-armor sneak. Other sneaky races, like the Wood Elf, Khajiit, Dark elf and Argonian will also work, with some backstory tweaks.
You'll want to split your Health/Magika/Stamina about 30/30/40, prioritizing survival and being able to sprint in combat, but still survive and be able to cast your spells. Plus, more stamina means more carry capacity!
Morality is not important to an Explorer; maybe you're a scholar in search of secrets, maybe a closet psychopath looking for something to up your game. Maybe you're the opportunistic grave robber in search of riches, away from the prying eyes of civilization.
You'll prioritize loot above anything else; take quests that promise monetary or physical rewards, and don't let moral choices stand in your way of a payday. Steal if you have to, but don't be reckless or stupid. You'll come and go from the main story line, if only for the chance to loot dragons and delve into the dungeons where Shouts are kept. The Dawnguard could go either way, so pick which side you feel fits your style better. You will absolutely want to finish the Dragonborn DLC, as being the Dragonborn is a lucrative title and no one is going to take that from you. You'll usually side with the Empire in the Civil war, as a stable, subjugated Skyrim is easier to traverse than a wild and free one. But, maybe Ulfric makes more sense to your style, and if so, go for Stormcloaks.
Just remember to always go for the loot.