<Name>, you are a dependable <race>. Can I count on you for another task?
Some time ago I was surveying the cave to the north for minerals, and I left my favorite pick behind. When I later returned to retrieve it I found the cave was filled with vicious beasts! Will you go into the cave, the Burning Blade Coven, and get my pick?
I left it in a chamber with waterfalls. My pick has a spell on it so you can see it in the dark, so you won't have to worry about finding it... just what's guarding it!
Great, you got it! Thanks a lot, <name>. This is my favorite pick! Now if my peons ever finish chopping down these trees, maybe we can find a nice cave to mine!
The cave Foreman Thazz'ril is referring to is the Burning Blade Coven - the cave in the area where you killed the Vile Familiars for the quest  - north and east of The Den. The cave entrance is at (45,56). It is full of level 3-4 Vile Familiars (humanoids) and Felstalkers (demons).
Continue inside, and you will soon come to a point where the cave splits into three sections - take the middle one. Head roughly west from the point where you entered the large chamber, and you will see the glow of Thazz'ril's Pick in the back, in front of a rock pillar near some waterfalls. The coordinates for the pick are [43, 53].
The can be found inside the Burning Blade Coven [44, 54]. On entering the cavern, it jack-knife's to the left. You are then confronted by three tunnels, take the centre tunnel. The pick can then be seen near the water area. There is a 10 second respawn time.
Patch 1.2.0 (18-Dec-2004): Thazz'ril's Pick is now easier to spot.