I've recently watched the first season of "Game of Thrones" again and I was wondering if it was ever established as to the whereabouts of Ned Stark's brother? Has he been confirmed dead?
It depends which brother you're talking about.
Brandon (not to be confused with Ned's son Brandon, or any of the many other Brandon Starks in Westeros's history) is confirmed as dead, killed by Mad King Aerys nearly twenty years before the series begins.
Benjen has been missing presumed dead since almost the beginning of the series, but has never been confirmed as dead.
Season 6 spoilers.
In s06e06, Benjen rescued Bran and Mira from wights. After that, he told that during his fateful ranging beyond the wall, he was attacked by White Walkers. One of them shoved an ice sword into his gut and left him for dead. He was discovered by the Children of the Forest, who saved him and stopped him from becoming a wight by shoving a piece of dragonglass into his chest.
According to Martin, in books, Benjen is not Coldhands.
But showrunners in "inside the episode" video called character, who saved Bran and Meera, Coldhands
Benjen as Coldhands?? That HAS not been confirmed at all!!
He could have been taken captive by some wildings. He could have been killed by the same host that descends on the Fist of the First Men. He could have been taken by the weather. He could have fallen off a mountain top.
It is not mentioned or confirmed in any of the books or in the series so far.
Although there are many "wild" speculations rumours around!