The gods and demons were once at war with each other. The gods emerged victorious. They were elated that they won. In that elation they forgot that it was the Omniscient Brahman who, desiring the stability of the world, had ensured the victory for the gods. They arrogated the victorious achievement to themselves and felt flattered at their glory. Brahman, knowing the truth of the matter and desirous of helping the gods, appeared before them as a Yaksha. They could not comprehend what this Yaksha was. So, Agni the Fire God who is also known as Jaatavedas (because he knows all that is created) was entrusted the job of finding out about the Yaksha.

On approaching the Yaksha, Agni was asked by him as to what special power he had? Swelling with pride, Agni replied that he could burn all that was there on earth. At this the Yaksha held out a blade of grass and requested him to burn it. Agni could not do so and beating a retreat he told the gods of his failure to gain any knowledge.

The gods then delegated the task to Vaayu the Air god. Vaayu duly approached the Yaksha. The Yaksha asked him who he was. He said he was Vaayu, also known as Maatarishvaa. On being asked what special power he possessed, Vaayu replied that he could blow away all that was there on earth. The Yaksha held out a blade of grass and asked him to blow it away. Try as he might, Vaayu could not blow it away. He too returned and reported of his failure to the gods.
The gods then entreated their King Indra to acquire knowledge of this Being, the Yaksha. Agreeing to do so, Indra hastened towards the Yaksha but the Yaksha simply vanished from Indra's perception. It was an exercise in effacing the ego for Indra. Unlike the other preceding two gods, Indra though insulted, stood his ground.Laying aside his pride, in all humility though unable to perceive, he pondered on the Yaksha. 

Seeing his humility and devotion to knowledge, Brahmavidya appeared as Uma Haimavati, a beautiful, lustrous woman, the consort of Lord Shiva to bless him with true knowledge. Indra, knowing her association with the Supreme God, requested her to tell him all about the Yaksha. She complied and said indeed it was Brahman. He had appeared to remove the false pride of their victory.

Thus, hearing from Uma herself about Brahman, Indra became the first god to know Brahman. He then gave that knowledge to Agni and Vaayu and through them to the other gods. This parable of Indra's enlightenment reveals the knowledge of Brahman to those who could not fathom the teachings in the first two sections of the Upanishad.

(This is from the third section of KENOPANISHAD, of Sama Veda)