If you're facing the entrance, it would be the left cliff side to the left of stones entrance, and the ledge will be lower height wise, than Stone's flying fortress.
It will have two trees and a imps hut on it.
Arthur can be found locked in one of the two cages at the rear of the lair.
He can be mindread to find out the secret to getting the Gremory family treasure unharmed. If you mindread the other two siblings as well, this will unlock an achievement in the Xbox 360 version.