Aldis is usually found in the courtyard near the castle in Solitude, training his guards in archery.
When you first enter the city, he will be overseeing Roggvir's Execution near the entrance.
Aldis is the captain of the guards in Solitude.
You can ask him about Roggvir. Aldis tells you that what Roggvir did was honorable, but was not right.