Lodur, along with Odin and Hoenir were the gods who created man. They had found a pieces of Ash and Elm wood along the beach to which Odin gave souls, Hoenir gave motion and Lodur gave the blood of life. These were the first man, Ask, and woman, Embla to live in Midgard. As these gods had created man, they felt it was their duty to watch over and protect them.
See Also: Ask and Embla