OK, just started the main quest and got that riddle box. I thought I went everywhere and saw everything, and I didnt find anywhere to put a key...so what is the key I got from the puzzle guy supposed to do?

just talk to Caius Cosades and he should give you the next assignment. then again im way past that point so i might have forgotten something.

if my memory serves correct, that key allows you access to a deeper section of the ruin. it's not part of the main quest so go back there whenever you want.

You possibly just opened the door that the key opens with a lockpick or spell. If you 'went everywhere' and didn't have to leave with doors left locked because you couldn't open them, then chances are the key won't do anything for you, so I wouldn't bother going back. IIRC there's nothing particularly interesting in the places it opens anyway.

If you are new to the game and you use heavy armour, I suggest to explore the locked part of the area as this will net you a good heavy armour.

but I only found one bracer and a pair of boots...then maybe im missing out? Really like the look of Dwemer armour, want a complete set!

it's a dwemer armour, you'll get one peice only. Which part of dwemer armour you'll get depends on your luck ( your own luck, not your character luck stat ).